2017-10-302017-10-302017-10-302017-10-30https://repositorio.banrep.gov.co/handle/20.500.12134/6338We study connectedness and causality between oil prices and exchange rates dynamically. Using data on the WTI and exchange rate returns for six countries in which oil production is a major production activity, we show that oil prices are net receptors of spillovers from excahnge rate markets. Connectedness exhibits important time variation and presents a positive trend during our sample period. We find evidence of bidirectional causality between oil prices and exchange rates, which presents also considerable time-variation. Causality is identified for longer periods of time from oil prices to exchange rates. However, we also find evidence of reverse causality, mainly in the period after the Subprime Financial Crisis. Our results provide evidence supporting the hypothesis of the financialization of oil markets.20 páginas : gráficas, tablasPDFengOpen AccessCausalidad variable en el tiempoPrecios del petróleoRendimiento del mercado de valoresEconomía de mercados emergentesWorking PaperC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processesG01 - Financial CrisesG12 - Asset Pricing; Trading Volume; Bond Interest RatesTime-varying causalityOil priceStock market returnsEmerging market economiesBolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014Petróleo -- Precios -- 2010-2014Tipos de cambio -- Estudios comparados -- 2010-2014Tasas de cambio -- Estudios comparados -- 2010-2014Bolsa de valores -- Rendimiento -- Estudios comparados -- 2010-2014Causalidad de GrangerAcceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosG01 - Crisis financieraLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.https://hdl.handle.net/20.500.12134/6338