Table 5 The extreme impact of crude oil shocks on real exchange rates (upper quantiles)

Panel A: Qunatile regression (q = 0.90)

 Intercept

2.7003***

(0.1773)

2.9698***

(0.2586)

3.2154***

(0.1766)

1.6453***

(0.0934)

3.3257***

(0.3981)

2.7998***

(0.1636)

2.8933***

(0.1769)

 Oil supply shock

−0.0034

(0.1719)

−0.1478

(0.3685)

0.0325

(0.1807)

0.1926***

(0.0732)

−0.5486

(0.5324)

0.1291

(0.1659)

0.0686

(0.1766)

 Aggregate demand shock

−0.4645**

(0.2132)

0.0717

(0.1959)

0.2370

(0.1968)

−0.1380

(0.0964)

0.1376

(0.2774)

−0.2524

(0.2286)

−0.1448

(0.1829)

 Oil-specific demand shock

−0.4333***

(0.1514)

0.0693

(0.2375)

−0.0865

(0.1981)

−0.1607*

(0.0915)

−0.6608**

(0.3235)

−0.6249***

(0.1733)

−0.2644

(0.2008)

Panel A: Qunatile regression (q = 0.95)

 Intercept

4.2069***

(0.3005)

4.1133***

(0.3106)

4.1003***

(0.1967)

2.2198***

(0.1176)

4.5984***

(0.4934)

3.5201***

(0.1712)

4.0087***

(0.2287)

 Oil supply shock

−0.2627

(0.2679)

−0.1195

(0.4031)

−0.0086

(0.2115)

0.0745

(0.0984)

−0.5407

(0.5800)

0.3247**

(0.1574)

0.1688

(0.2376)

 Aggregate demand shock

−0.8399***

(0.2909)

−0.1878

(0.1883)

0.2838

(0.2335)

−0.1941*

(0.1051)

0.0829

(0.2491)

−0.1299

(0.2332)

−0.2364

(0.1888)

 Oil-specific demand shock

−0.7173***

(0.2208)

−0.3921*

(0.2174)

0.0970

(0.2433)

−0.3771***

(0.1018)

−0.7807**

(0.3497)

−0.6269***

(0.1628)

−0.2669

(0.2304)

Panel A: Qunatile regression (q = 0.99)

 Intercept

6.5155***

(0.2983)

5.3645***

(0.3142)

5.5931***

(0.1423)

3.2089***

(0.0961)

10.6930***

(0.8447)

5.9670***

(0.2202)

5.1933***

(0.1544)

 Oil supply shock

0.3677*

(0.1905)

−0.4861

(0.5133)

0.6137***

(0.1109)

0.1589**

(0.0717)

−4.4077***

(0.9849)

1.0051***

(0.1430)

0.7489***

(0.1345)

 Aggregate demand shock

−1.2592***

(0.1976)

0.0072

(0.2646)

0.9376***

(0.1229)

−0.4897***

(0.0896)

0.4345

(0.2917)

−0.6062***

(0.1652)

−0.1874

(0.1252)

 Oil-specific demand shock

−0.5733***

(0.1706)

−0.5541**

(0.2799)

0.4135***

(0.1406)

−0.4697***

(0.0722)

−1.9372***

(0.4870)

−0.4643***

(0.1408)

−0.0042

(0.1363)