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Table 4 The extreme impact of crude oil shocks on real exchange rates (lower quantiles)

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

  AUS EU JAP CAN MEX NOR UK
Panel A: Qunatile regression (q = 0.01)
 Intercept −4.8641***
(0.1392)
−5.5807***
(0.2085)
−6.8229***
(0.2293)
−3.6080***
(0.1422)
−5.1912***
(0.3373)
−4.9979***
(0.1361)
−66.1070***
(0.2636)
 Oil supply shock −0.1789
(0.1091)
1.5651***
(0.3406)
0.0354
(0.2322)
−0.2534**
(0.1135)
−1.4286***
(0.5286)
−0.0823
(0.1395)
−0.4661***
(0.1477)
 Aggregate demand shock 0.4632***
(0.1413)
−0.9422***
(0.1756)
−0.3451*
(0.1867)
−0.6068***
(0.0915)
0.1269
(0.2911)
−0.1719
(0.1307)
−1.3451***
(0.1424)
 Oil-specific demand shock −0.3124**
(0.1286)
−0.4980***
(0.1857)
0.1802
(0.1788)
−0.1766*
(0.1006)
0.0411
(0.2365)
−0.2209**
(0.1123)
−0.6308***
(0.1398)
Panel A: Qunatile regression (q = 0.05)
 Intercept −3.2435***
(0.1447)
−4.5158***
(0.4670)
−4.5083***
(0.2492)
−2.1805***
(0.1186)
−3.4768***
(0.2349)
−3.7680***
(0.2014)
−3.5623***
(0.1741)
 Oil supply shock 0.1243
(0.1680)
0.7149
(0.7255)
0.2278
(0.3263)
−0.0010
(0.1106)
−0.1903
(0.3818)
−0.3363*
(0.1802)
0.0208
(0.1494)
 Aggregate demand shock −0.1607
(0.1315)
−0.7223**
(0.3414)
0.0529
(0.2280)
−0.3136***
(0.0854)
−0.0202
(0.2235)
−0.1524
(0.1947)
−0.2689*
(0.1450)
 Oil-specific demand shock −0.3320**
(0.1609)
0.0899
(0.3063)
0.7625***
(0.2192)
−0.1149
(0.0995)
−0.0611
(0.2142)
−0.2364
(0.1465)
−0.0066
(0.1436)
Panel A: Qunatile regression (q = 0.10)
 Intercept −2.6168***
(0.1402)
−2.6674***
(0.2775)
−3.6585***
(0.2409)
−1.6529***
(0.1015)
−2.7916***
(0.2176)
−2.8608***
(0.1833)
−2.9058***
(0.1685)
 Oil supply shock 0.0198
(0.1467)
−0.0240
(0.5136)
−0.0331
(0.3030)
0.0192
(0.1006)
−0.1919
(0.3647)
−0.1228
(0.1923)
0.2035
(0.1682)
 Aggregate demand shock −0.1541
(0.1197)
0.1582
(0.2316)
0.2763
(0.2495)
−0.1724**
(0.0846)
0.0485
(0.2198)
−0.1176
(0.1777)
−0.2973**
(0.1467)
 Oil-specific demand shock −0.1753
(0.1566)
−0.4169
(0.2601)
0.4293**
(0.2107)
−0.1170
(0.0945)
−0.3399*
(0.1889)
−0.2351
(0.1556)
−0.0864
(0.1448)
  1. The standard errors are reported in parentheses
  2. *, ** and *** denotes coefficients significant at 10, 5 and 1 % level respectively