Fig. 4
From: Dynamic structural impacts of oil shocks on exchange rates: lessons to learn
Time-rolling window spillover and impulse response functions from oil supply shock to exchange rates. Notes: The left panel of this figure shows the time-varying behaviour of the spillover from oil shocks to exchange rate returns. This index starts on June 2000 since a 315-month (228 for South Korea) rolling window is used to obtain its evolution over time. The right panel of this figure shows the rolling Impulse Response Functions (IRFs) computed using an SVAR estimation on a rolling sample of 315 monthly (228 for South Korea) observations. The IRFs are indexed by the end dates of the subsamples used in the rolling SVARs and by the horizons of interest. The colours in the 3D rolling impulses show the magnitude of effects and ranges from blue to red