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

Total, asymmetric and frequency connectedness between oil and forex markets