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Table 5 The extreme impact of crude oil shocks on real exchange rates (upper 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 = 0.90)
 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)
  1. The standard errors are reported in parentheses
  2. *, ** and *** denotes coefficients significant at 10, 5 and 1 % level respectively