IDEAS home Printed from https://ideas.repec.org/a/eee/energy/v331y2025ics0360544225025903.html
   My bibliography  Save this article

Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability

Author

Listed:
  • Razi, Ummara
  • Cheong, Calvin W.H.
  • Shams, Syed
  • Sarker, Tapan
  • Sharif, Arshian
  • Afshan, Sahar

Abstract

This study examines the dynamic relationship between energy price volatility and exchange rates in the ASEAN region from 2000 to 2023. Given ASEAN's energy dependency and diverse economic structures, understanding these interactions is essential for policy resilience against global energy market fluctuations. The study employs wavelet coherence analysis to explore the time-frequency dynamics between energy prices and currency valuation. Findings suggest that energy price volatility significantly influences global economic stability, directly impacting the exchange rates of energy-exporting nations like Indonesia and Malaysia, where rising energy prices strengthen currency values. Similarly, Singapore's exchange rate has appreciated due to its status as a financial hub. In contrast, Brunei, the Philippines, and Vietnam, as energy importers, exhibit negative coherence, reflecting vulnerability to economic shocks and commodity price fluctuations. The study also considers inflation trends using the Consumer Price Index as a moderator, finding that inflation amplifies exchange rate sensitivity to energy price volatility. Additionally, the wavelet Granger causality test enhances result robustness. These findings emphasize the need for proactive policies to mitigate the impact of energy price fluctuations on currency stability and inflation across ASEAN economies.

Suggested Citation

  • Razi, Ummara & Cheong, Calvin W.H. & Shams, Syed & Sarker, Tapan & Sharif, Arshian & Afshan, Sahar, 2025. "Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability," Energy, Elsevier, vol. 331(C).
    • Handle: RePEc:eee:energy:v:331:y:2025:i:c:s0360544225025903
    DOI: 10.1016/j.energy.2025.136948
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0360544225025903
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.energy.2025.136948?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:energy:v:331:y:2025:i:c:s0360544225025903. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/energy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.