  We analyze total, asymmetric and frequency connectedness between oil and
forex markets using high-frequency, intra-day data over the period 2007 --
2017. By employing variance decompositions and their spectral representation in
combination with realized semivariances to account for asymmetric and frequency
connectedness, we obtain interesting results. We show that divergence in
monetary policy regimes affects forex volatility spillovers but that adding oil
to a forex portfolio decreases the total connectedness of the mixed portfolio.
Asymmetries in connectedness are relatively small. While negative shocks
dominate forex volatility connectedness, positive shocks prevail when oil and
forex markets are assessed jointly. Frequency connectedness is largely driven
by uncertainty shocks and to a lesser extent by liquidity shocks, which impact
long-term connectedness the most and lead to its dramatic increase during
periods of distress.
