Dynamic integration and transmission channels among interest rates and oil price shocks

• Dynamic integration among oil price shocks and interest rates in Asia, EU, the U.S. Evidence of time variation co-movement shocks. Financial crises reduce level integration. External exposure, information asymmetry political stability increase This paper examines short term dynamic for U.S.A, Euro area twelve Asian economies from August 1999 to January 2018 using a Time-Varying Parameter Vector Autoregression (TVP-VAR) with stochastic volatility. First, we found convincing evidence that levels were highest towards 2001 financial crisis whereas there is an decoupling as shown by notable drop during 2007–2009 economic Euro-debt crises. In descending order, Singapore, crude oil, Hong Kong, Philippines United States are net-transmitters while India, Japan Vietnam net-receivers. Results sub-sample containing highly industrializing States, market suggest Kong remained top transmitters Euro-area, Taiwan, Korea become net receivers analysis transmission channels higher full sample tend be driven increasing external exposure through trade linkages, reduces Lastly, industrialized markets, varying also degree well both stability. We document important policy implications our findings.