Dynamic spillover between commodities and commodity currencies during United States Q.E.

Yip, Pick Schen; Brooks, Robert Darren; Xuan, Hung

doi:10.1016/j.eneco.2017.07.008

Cited by 26 publications

(12 citation statements)

References 34 publications

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“…& } is a diagonal matrix of fractional degrees (d), which captures the long memory behaviour of the volatilities of the two markets. We follow the two-step estimation approach described in Yip et al (2017) to estimate our FIVAR system. 13…”

Section: Discussionmentioning

confidence: 99%

“…In other words, by using the generalized method we do not need to assume the direction of the contemporaneous causality between the Great Britain's and SEM's volatilities. In addition, we follow Do et al (2014) and Yip et al (2017) to construct the generalized connectedness index within a fractionally integrated Vector Autoregressive (FIVAR) model. 7 A utilization of the FIVAR model allows us to capture an important behaviour of the volatility, the long-range dependency, documented in energy markets including electricity market (e.g., Ma et al, 2017;Gong and Lin, 217;and Qu et al, 2018).…”

Section: Symmetric Connectedness Measurementioning

confidence: 99%

“…The FIVAR framework, as a subset of the Vector Autoregressive Fractionally Integrated Moving Average (VARFIMA) model, was first studied bySowell (1989) and has been significantly examined and used in the literature (e.g.,Luceno, 1996;Martin and Wilkins, 1999;Andersen et al, 2003;Johansen, 2008;Sela and Hurvich, 2009;Chiriac and Voev, 2011;Do et al, 2014;Yip et al, 2017).…”

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confidence: 99%

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Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

2020

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This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static (unconditional) vs dynamic (conditional), symmetric vs asymmetric characteristics between 2009 and 2018. We find that volatility connectedness is time varying and is significantly affected by important events, policy reforms or market redesigns such as Brexit, oil price slump, increasing share of renewables, and fluctuations in the exchange rates. Our asymmetric analysis shows that the magnitude of the good volatility connectedness is marginally larger than that of the bad volatility connectedness. Our result suggests that good volatility levels would be even higher once the Irish market adopts the carbon price floor. Therefore, supporting renewable generation by setting an appropriate carbon price in interconnected wholesale electricity markets will improve market integration.

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Section: Discussionmentioning

confidence: 99%

Section: Symmetric Connectedness Measurementioning

confidence: 99%

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confidence: 99%

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Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

2020

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“…Therefore, we employ a fractionally integrated VAR (FIVAR) model for the empirical analysis. Previous studies have shown a FIVAR specification to be effective in capturing long-memory behaviour in economics, finance and commodity markets (e.g., Andersen et al, 2003;Chiriac and Voev, 2011;Do et al, 2016;Yip et al, 2017).…”

Section: Fractionally Integrated Var Modelmentioning

confidence: 99%

“…7 FIVAR models can also be estimated using a two-step estimation method, which has commonly been employed in previous studies (e.g., Do et al, 2014;Yip et al, 2017). With the two-step method, the first stage estimates the vector of memory degrees (d) in a multivariate framework such as Shimotsu (2007).…”

Section: Fractionally Integrated Var Modelmentioning

confidence: 99%

Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis*

2020

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We examine the risk transmission mechanisms in the interconnected Australian National Electricity Market (NEM). We illustrate that the transmission of extreme events in terms of their magnitude (via skewness) and the likelihood of their occurrence (via kurtosis) should be considered when promoting NEM interconnectedness. Our empirical findings suggest that interconnectedness costs can be limited by providing sufficient transmission capacities as it can expand generation capacity. Our results suggest that a one percent increase in NEM generation capacity can decrease the transmission of these risks by between 0.9 percent and 1.7 percent, depending on the moment of the electricity return distribution.

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Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

Benlagha

Hemrit

2021

J Econ Finan

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This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.

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Dynamic spillover between commodities and commodity currencies during United States Q.E.

Cited by 26 publications

References 34 publications

Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets

Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis*

Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

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