Table 3 The general impact of crude oil shocks on real exchange rates
From: Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach
AUS | EU | JAP | CAN | MEX | NOR | UK | |
|---|---|---|---|---|---|---|---|
Panel A: OLS regression | |||||||
Intercept | 0.0292 (0.1088) | 0.0728 (0.1697) | −0.0027 (0.1243) | 0.0463 (0.0654) | 0.1063 (0.2197) | 0.0362 (0.1033) | 0.0061 (0.1089) |
Oil supply shock | 0.1037 (0.1155) | −0.3329 (0.2772) | 0.0135 (0.1318) | 0.0775 (0.0693) | −0.3595 (0.3646) | 0.0127 (0.1096) | 0.1120 (0.1155) |
Aggregate demand shock | −0.3465*** (0.1154) | −0.1703 (0.1429) | 0.1886 (0.1315) | −0.2430*** (0.0703) | −0.0114 (0.1959) | −0.1238 (0.1103) | −0.1933* (0.1152) |
Oil-specific demand shock | −0.3228*** (0.1150) | −0.2976* (0.1512) | 0.0477 (0.1313) | −0.2764*** (0.0690) | −0.2959 (0.2035) | −0.4343*** (0.1091) | −0.2187* (0.1154) |
Panel B: Qunatile regression (q = 0.5) | |||||||
Intercept | −0.1296 (0.1429) | 0.2697 (0.2292) | 0.1194 (0.1733) | 0.0645 (0.0894) | −0.3210* (0.1885) | 0.0172 (0.1471) | 0.0266 (0.1524) |
Oil supply shock | −0.0467 (0.1540) | −0.5870 (0.3745) | −0.0708 (0.1636) | 0.0218 (0.0963) | 0.0204 (0.3124) | −0.0541 (0.1355) | 0.1323 (0.1704) |
Aggregate demand shock | −0.1448 (0.1710) | −0.2315 (0.1930) | 0.2911 (0.1790) | −0.0058 (0.1250) | 0.1004 (0.2001) | −0.1137 (0.1578) | −0.0056 (0.1893) |
Oil-specific demand shock | −0.1190 (0.1567) | −0.4246** (0.2041) | −0.0891 (0.1930) | −0.2394* (0.1143) | −0.0451 (0.1745) | −0.4107** (0.1789) | −0.2696 (0.1783) |