Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability
Article
Razi, Ummara, Cheong, Calvin W.H., Shams, Syed, Sarker, Tapan, Sharif, Arshian and Afshan, Sahar. 2025. "Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability." Energy. 331. https://doi.org/10.1016/j.energy.2025.136948
| Article Title | Assessing the turbulence: Wavelet coherence and causality analysis of energy price volatility and exchange rate instability |
|---|---|
| ERA Journal ID | 5115 |
| Article Category | Article |
| Authors | Razi, Ummara, Cheong, Calvin W.H., Shams, Syed, Sarker, Tapan, Sharif, Arshian and Afshan, Sahar |
| Journal Title | Energy |
| Journal Citation | 331 |
| Article Number | 136948 |
| Number of Pages | 18 |
| Year | 2025 |
| Publisher | Elsevier |
| ISSN | 0360-5442 |
| 1873-6785 | |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.energy.2025.136948 |
| Web Address (URL) | https://www.sciencedirect.com/science/article/pii/S0360544225025903 |
| 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. |
| Keywords | Inflation trends; Exchange rates; Energy price volatility; ASEAN countries; Wavelet granger causality; Wavelet coherence |
| Contains Sensitive Content | Does not contain sensitive content |
| ANZSRC Field of Research 2020 | 350201. Environment and climate finance |
| Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
| Byline Affiliations | Sunway University, Malaysia |
| Ilma University, Pakistan | |
| Bahçeşehir Cyprus University, Türkiye | |
| School of Business | |
| Vizja University, Poland | |
| Korea University, Korea |
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https://research.usq.edu.au/item/zy377/assessing-the-turbulence-wavelet-coherence-and-causality-analysis-of-energy-price-volatility-and-exchange-rate-instability
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