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Applied Economics Volume 54, 2022 - Issue 54
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Research Article

ASEAN-5 forex rates and crude oil: Markov regime-switching analysis

Mukhriz Izraf Azman Aziza School of Economics, Finance and Banking; Universiti Utara MalaysiaSintok, Kedah Darul Aman, MalaysiaView further author information
,
Zaghum Umarb College of Business, Zayed University, Abu Dhabi, United Arab Emirates P.O. Box 144534;c Institute of Business Research, University of Economics Ho Chi Minh City, Ho Chi Minh City, VietnamORCID Iconhttps://orcid.org/0000-0002-0425-2665View further author information
ORCID Icon,
Mariya Gubarevad ISEG – Lisbon School of Economics & Management, Universidade de Lisboa, Lisbon, Portugal;e SOCIUS/CSG - Research in Social Sciences and Management, Lisbon, PortugalCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-6829-7021View further author information
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Tatiana Sokolovaf National Research University Higher School of Economics/HSE University, Moscow, Russian FederationORCID Iconhttps://orcid.org/0000-0002-2238-7539View further author information
ORCID Icon &
Xuan Vinh Vog Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Ho Chi Minh City, VietnamORCID Iconhttps://orcid.org/0000-0002-3868-8176View further author information
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Pages 6234-6253 | Published online: 20 Jun 2022

Citations (13)

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Read on this site (2)

Qiang Cao, Jing Nie & Wenmei Yu. (2024) Time-varying effects of structural fossil energy price shocks and economic policy uncertainty on new energy stock market: new evidence from China. Applied Economics 56:27, pages 3232-3246.
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Sreelakshmi Ramesh, Sabuj Kumar Mandal & Perry Sadorsky. Does the source of oil price shock matter for Indian sectoral stock returns? A time-frequency approach to analyse dynamic connectedness and spillovers. Applied Economics 0:0, pages 1-18.
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Articles from other publishers (11)

Mohammad Enamul Hoque, Mohammad Sahabuddin & Faik Bilgili. (2024) Volatility interconnectedness among financial and geopolitical markets: Evidence from COVID-19 and Ukraine-Russia crises. Economic Analysis and Policy 82, pages 303-320.
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Zaghum Umar, Sinda Hadhri, Emmanuel Joel Aikins Abakah, Muhammad Usman & Muhammad Umar. (2024) Return and volatility spillovers among oil price shocks and international green bond markets. Research in International Business and Finance 69, pages 102254.
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Zaghum Umar, Khaled Mokni, Youssef Manel & Mariya Gubareva. (2024) Dynamic spillover between oil price shocks and technology stock indices: A country level analysis. Research in International Business and Finance 69, pages 102231.
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Shamaila Butt, Muhammad Ramzan, Wing-Keung Wong, Muhammad Ali Chohan & Ayman Hassan Bazhair. (2024) Unravelling the nexus between energy prices and exchange rate in Malaysia: Fresh insights from a non-linear perspective using threshold cointegration analysis. Heliyon 10:5, pages e26512.
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Shoujun Huang, Ahmed Bossman, Mariya Gubareva & Tamara Teplova. (2024) International transmission of shocks and African forex markets. Energy Economics 131, pages 107382.
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Waqas Hanif, Jorge Miguel Andraz, Mariya Gubareva & Tamara Teplova. (2024) Are REITS hedge or safe haven against oil price fall?. International Review of Economics & Finance 89, pages 1-16.
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Ngo Thai Hung. (2023) Time-varying connectedness and causality between oil prices and G7 economies exchange rates. Evidence from the COVID-19 and Russia-Ukraine crises. Studies in Economics and Finance 40:5, pages 814-838.
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Jianhua Xu, Khalid Khan & Yang Cao. (2023) Conflict and exchange rate valuation: Evidence from the Russia-Ukraine conflict. Heliyon 9:6, pages e16527.
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Zaghum Umar, Afsheen Abrar, Sinda Hadhri & Tatiana Sokolova. (2023) The connectedness of oil shocks, green bonds, sukuks and conventional bonds. Energy Economics 119, pages 106562.
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Ahmed Bossman, Mariya Gubareva & Tamara Teplova. (2023) Asymmetric effects of geopolitical risk on major currencies: Russia-Ukraine tensions. Finance Research Letters 51, pages 103440.
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Michael Frömmel, Darko B. Vukovic & Jinyuan Wu. (2022) The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential. Mathematics 10:23, pages 4504.
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