In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017. In addition to linear causality tests, we employ quantile causality test to identify prior imperceptible causality in quantiles. We find a causal relationship from crude oil price to exchange rate at each quantile interval, but the reverse only appears in tail. This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other. Moreover, using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate, whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price. These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.

中文翻译：

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原油价格与人民币汇率之间的因果关系

在本文中，我们使用2005年7月21日至2017年4月5日的每日信息评估国际原油价格变化与人民币汇率之间的因果关系。除线性因果关系检验之外，我们还采用分位数因果关系检验来确定分位数中的先验不可知因果关系。 。我们发现在每个分位数区间，原油价格与汇率之间存在因果关系，但相反的情况仅出现在尾部。这可能有助于解释为什么传统的线性检验无法捕捉汇率和原油价格之间的因果关系，因为尾部的分位数因果关系相互抵消。此外，在原油贸易中使用人民币作为结算货币可以削弱之前原油价格与汇率之间的重大因果关系，汇率市场化的改革重新点燃了从汇率到原油价格的因果关系。这些发现建议在原油贸易中更广泛地使用本币，以避免来自原油市场的风险。