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. 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. Hence, the long-term connectedness reflects worrisome beliefs of investors and correlates with the increased market uncertainty .
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency , intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness , we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in 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 the most and lead to its dramatic increase during periods of distress .
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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
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sharply rises during the global financial crisis, European debt crisis, and after the oil price drop in 2014. Hence, the
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