Before revision:  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. Further, in terms of asymmetries we show that bad volatility dominates connectedness on the forex market. However, when we add oil into a hypothetical portfolio of oil and foreign currencies, asymmetry in connectedness between the two classes of assets reverses in favor of the good volatility. Finally, the frequency connectedness analysis reveals that dynamic of the shorter and longer term connectedness dramatically differs. While shorter-term connectedness is usually low, the long-term connectedness sharply rises during the global financial crisis, European debt crisis, and after the oil price drop in 2014.
After revision:  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 mixed portfolio. Asymmetries in connectedness sharply rises during the global financial crisis, European debt crisis, and after the oil price drop in 2014.