Before revision: We analyze total, asymmetric and frequency connectedness between the oil and forex markets using high-frequency  intra-day data over  2007 -- 2015. Methodologically, we extend the Diebold-Yilmaz spillover index in two ways to account for asymmetric and frequency connectedness . Empirically, our resultsshow that by combining crude oil with the set of currencies a total connectedness of the portfolio is lower than the total connectedness of the forex market itself.
After revision: We analyze total, asymmetric and frequency connectedness between the oil and forex markets using high-frequency intra-day data over 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness . Empirically, our resultsshow that by combining crude oil with the set of currencies a total connectedness of the portfolio is lower than the total connectedness of the forex market itself.