Before revision:  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. Hence, the long-term connectedness reflects worrisome beliefs of investors and correlates with the increased market uncertainty .
After revision:  While shorter-term connectedness is usually low, the long-term connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness reflects worrisome beliefs of investors and correlates with the increased market uncertainty .