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Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng; Guan, Bo; Lu, Wenna; Heravi, Saeed M. - 2024

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key … market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from … source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market's role in …

Persistent link: https://www.econbiz.de/10015149616

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

Empirical investigation of changes in policy uncertainty on stock returns : evidence from China's market

Chen, Xiaoyu; Chiang, Thomas C. - In: Research in international business and finance 53 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012549183

Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives

Zhu, Huiming; Chen, Yiwen; Ren, Ying-hua; Xing, Zhanming; … - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-46

Persistent link: https://www.econbiz.de/10013449362

Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions : evidence from oil volatility index

Xiao, Jihong; Zhou, Min; Wen, Fengming; Wen, Fenghua - In: Energy economics 74 (2018), pp. 777-786

Persistent link: https://www.econbiz.de/10011972968

Effect of oil price uncertainty on clean energy metal stocks in China : evidence from a nonparametric causality-in-quantiles approach

Shao, Liuguo; Zhang, Hua; Chen, Jinyu; Zhu, Xuehong - In: International review of economics & finance : IREF 73 (2021), pp. 407-419

Persistent link: https://www.econbiz.de/10012692376

The effects of oil price uncertainty on China's economy

Xu, Qinhua; Fu, Buben; Wang, Bin - In: Energy economics 107 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013202442

Oil prices and the Swiss economy

Atukeren, Erdal (contributor) - 2003 - [Elektronische Ressource]

This paper examines the macroeconomic effects of an oil price shock in a small open industrial economy without oil resources, namely, Switzerland. First, we test whether oil price shocks Granger-cause Swiss macroeconomic variables, and use a medium-scale macroeconometric model to track the...

Persistent link: https://www.econbiz.de/10001783595

Nonlinearities in the Oil Price-Output Relationship

Kilian, Lutz; Vigfusson, Robert J. - 2011

It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....

Persistent link: https://www.econbiz.de/10014184997

Time Varying Factors Behind the Oil Price

Tham, Eric - 2008

In recent years, the crude oil price has risen from the $20s to the $140s. This rise is modeled using a state space regression model with time-varying beta coefficients. Explanatory variables used include days of stock cover, refinery utilization, speculative long interest and market...

Persistent link: https://www.econbiz.de/10014215210