Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices.

This study aims to investigate the time-varying spillover effects of the U.S. climate policy uncertainty (U.S. CPU) shock on crude oil prices and exchange rates by utilizing the DCC-GARCH connectedness approach. The results show that U.S.CPU is the largest net transmitter, followed by the crude oil price. Our outcomes also indicate that the Italian currency is the main net recipient and further reveal the pass-through effect of crude oil prices between U.S. CPU and exchange rates.