The objectives are to discern how the three financial sectors' CDS spreads interrelate to each other and with three other risks under the full sample and two subperiods: The 2007 Great Recession, and the 2009 recovery, and to assess the impact of QE1 on those risks in the second subperiod. The...

This paper examines the effects of China’s monetary policy on global commodity prices over the quarterly period 1990:1-2021:4. Using a Bayesian Structural VAR model, we identify shocks to the interest rate as a price rule and the monetary aggregate (M2) as a quantity rule in China and evaluate...

This paper examines the connectedness network among 27 NATO stock markets, Russian stock market and a set of three commodity indices (energy, precious metals and agricultural commodities) over the period 2006–2022. The empirical results reveal that the connectedness structure has shifted...

Purpose The study tests risk-taking and risk-aversion capabilities while distinguishing between business group firms and stand-alone firms and considering oil price volatility. Second, this attempt to study the linkage between risk-taking during market down movements and when the firms have...

Value-at-Risk (VaR) is used to analyze the market downside risk associated with investments in six key individual assets including four precious metals, oil and the S&P 500 index, and three diversified portfolios. Using combinations of these assets, three optimal portfolios and their efficient...