Spillovers from the oil market to other financial markets in the frequency domain : How important is quantitative easing?

Financialization has tightened the links between the oil market and other major financial markets, but their relationships remain poorly understood. In this paper, we quantify the heterogeneous return spillovers from the oil market to other major financial markets in the short, medium and long term, and we examine the drivers of spillover intensity by focusing on the effect of quantitative easing in the U.S. The main empirical results are as follows. First, the return spillovers from the oil market to other financial markets intensified during the global financial crisis of 2007–2009, with the dynamics of these spillovers being driven by various frequencies (short-term to long-term). Second, quantitative easing has different effects on spillover intensity at different frequencies, with the effect on long-term spillovers being the largest. Third, we provide empirical evidence for the double-edged sword effect of quantitative easing on systemic risk from a frequency perspective