Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective

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Ekonomi Politika ve Finans Araştırmaları Dergisi
Cilt: 10 Sayı: 3
Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective

Polytomic Spillover Dynamics between Oil and Euro Markets: A High-Frequency Perspective

Pages : 1143-1172

View : 41 | Download : 64

Publication Date : 2025-09-30

Article Type : Research Paper

Abstract :This study investigates the short-term relationship between daily West Texas Intermediate (WTI) oil prices and the Euro exchange rate (EUR) during the 2020–2024 period, which was marked by the COVID-19 pandemic and economic fluctuations. A comprehensive wavelet-based framework, including powerful tests such as phase difference, gain, coherence, correlation, and causality measures based on continuous wavelet transform, was employed. The findings reveal a significant spillover mechanism operating between commodity and foreign exchange markets during periods of economic instability. As uncertainty intensifies with market turmoil, spillover effects become more pronounced, highlighting the importance of using market dynamics and volatility information effectively in hedging strategies. The study demonstrates that multidimensional (politomic) analyses provide more realistic findings than binary (dichotomic) approaches. These results emphasize the critical importance for policymakers to monitor intermarket connections during systemic shocks. By providing a detailed analysis of high-frequency market interactions, this study contributes to the literature and offers practical implications for investors, portfolio managers, and policymakers involved in short-term trading and risk management in increasingly interconnected financial markets, particularly in Europe, a major net oil importer.
Keywords : Finansal Piyasalar, Dalgacık Analizi, Bulaşma Etkisi

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