Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach

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Table 2 Summary statistics on oil shock and monthly real exchange rate returns

	Supply	Demand	Price	AUS	EU	JAP	CAN	MEX	NOR	UK
Min	−4.4061	−4.7628	−3.5219	−5.9461	−6.7545	−10.9560	−6.4209	−15.7770	−6.0399	−11.1840
Max	3.6987	3.9909	4.8301	15.2569	7.0501	8.2285	11.3194	31.7050	11.7510	7.4383
Median	0.0384	0.0140	0.0299	−0.1368	0.1525	0.1428	0.01095	−0.3407	−0.0560	−0.04538
Mean	0.0000	0.0000	0.0000	0.0545	0.0633	−0.0188	0.0470	0.0803	0.0245	−0.0221
Std. dev	0.9492	0.9474	0.9605	2.4506	2.4723	2.7945	1.4633	3.5369	2.4184	2.4689
Skewness	−0.7651	−0.5716	0.0418	1.3235	−0.1091	−0.4751	0.6452	3.1931	0.3178	0.0256
Kurtosis	4.4061	4.2286	1.9673	5.7301	0.0983	0.9756	7.5366	27.3467	0.7978	1.8912
Norm test. W	0.9311	0.9356	0.9806	0.9303	0.9939	0.9837	0.9445	0.7268	0.9911	0.9833
Norm test. p	0.0000	0.0000	0.0000	0.0000	0.6094	0.0000	0.0000	0.0000	0.0045	0.0000
Unit root test. A	−7.8977	−7.3289	−7.2995	−8.5445	−4.6561	−7.2583	−7.0261	−7.2291	−7.3868	−7.6444
Unit root test. p	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000

The ADF unit root tests have been using the model with intercept and linear trend. The optimal lag length for the tests was determined using the Schwarz information criterion (SIC)