Liu CNaeem MARehman MUFarid SShahzad SJH2024-07-192024-07-192020-09Liu C, Naeem MA, Rehman MU, Farid S, Shahzad SJH. (2020). Oil as hedge, safe-haven, and diversifier for conventional currencies. Energies. 13. 17.https://mro.massey.ac.nz/handle/10179/70242The research investigates the safe-haven, hedging, and diversification function of crude oil for conventional currencies, among which five are major oil exporters, and six are major oil importers. In order to model time-varying dynamic correlations between crude oil and currencies, the study uses the Asymmetric-DCC model. The findings highlight low or negative correlations, especially during the crisis period. Next, we employ a quantile based regression framework and conclude distinct safe-haven and hedge functions of oil for major currencies. We provide additional evidence on the safe-haven, hedging, and diversification function of crude oil using the cross-quantilogram framework. The findings of out of sample analysis illustrate that the hedging effectiveness of oil is greater for oil-exporting countries. In addition, the conditional diversification benefit of oil is higher in the lower quantiles, i.e., when both foreign exchange and oil markets are in a bearish state. Finally, implications for investors, portfolio managers, and policymakers are further discussed.(c) 2020 The Author/sCC BY 4.0https://creativecommons.org/licenses/by/4.0/hedgesafe havencrude oilcurrencyJournal article10.3390/en131743541996-1073journal-article4354