Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective

Singh, Vipul Kumar; Kumar, Pawan; Nishant, Shreyank

doi:10.1016/j.eneco.2019.01.005

Cited by 35 publications

(18 citation statements)

References 36 publications

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“…For example, Batten et al (2019) investigate the temporal nature of integration between energy (oil, coal and gas) and an Asian stock market portfolio set up 10 key stock markets including China and Japan. Singh et al (2019) explore the system-wide shock spillover connectedness of crude oil and select global asset indicators from commodities, stocks, bonds and currency.…”

Section: Discussionmentioning

confidence: 99%

“…1. In recent years, the study of spillover effects has also focussed on sectors other than banking. For example, there are several recent works analysing risk spillover effects in the energy market (Ji et al , 2018; Batten et al , 2019; Singh et al , 2019), commodities (Handika and Putra, 2017; Ji et al , 2020), cryptocurrency markets (Xu et al , 2020; Kostika and Laoposis, 2019). For example, Batten et al (2019) investigate the temporal nature of integration between energy (oil, coal and gas) and an Asian stock market portfolio set up 10 key stock markets including China and Japan.…”

Section: Notesmentioning

confidence: 99%

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Bad or good neighbours: a spatial financial contagion study

Foglia

Ortolano

Febo

et al. 2020

SEF

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Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017. Design/methodology/approach The authors use a dynamic spatial Durbin model that enables to explore the direct and indirect effects over the short and long run and the transmission channels of the contagion. Findings The results show how contagion emerges through physical and financial market links between banks. This finding implies that a bank can fail because people expect other related financial institutions to fail as well (self-fulfilling crisis). The study provides statistically significant evidence of the presence of credit risk spillovers in CDS markets. The findings show that equity market dynamics of “neighbouring” banks are important factors in risk transmission. Originality/value The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread determinants both under a temporal and spatial dimension. Considering the cross-dependence of credit spreads, the study allowed to verify the non-linearity between the probability of default of a debtor and the observed credit spreads (credit spread puzzle). The authors provide information on the transmission mechanism of contagion and, on the effects among the largest banks. In fact, through the study of short- and long-term impacts, direct and indirect, the paper classify banks of systemic importance according to their effect on the financial system.

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Section: Discussionmentioning

confidence: 99%

Section: Notesmentioning

confidence: 99%

Bad or good neighbours: a spatial financial contagion study

Foglia

Ortolano

Febo

et al. 2020

SEF

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“…International investors prefer to shift to gold investments when the economy underperforms, as in recessions ( Jain and Biswal, 2016 ) and periods of economic uncertainty, or when global oil prices are highly volatile ( Bouri et al, 2017 ). Singh et al (2019) , Shahzad et al (2019) , and Lee and Lin (2012) have reported that gold prices are tightly knitted to oil prices, meaning a decline in oil prices follows an extreme drop in gold prices and vice versa. Hence, given that the COVID-19 crisis has had an unprecedented impact on oil prices ( Sharif et al, 2020 ) and is expected to cause substantial economic and social damage to financial markets and global institutions ( Goodell, 2020 ), an in-depth analysis of the relationship between oil and gold prices during crisis periods is necessary.…”

Section: Introductionmentioning

confidence: 99%

Does oil impact gold during COVID-19 and three other recent crises?

et al. 2022

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“…The sale and the profit of the oil business are influenced by crude oil's price fluctuations and have an effect on capital budgeting decisions (Moshiri and Foroutan, 2006). Crude oil prices clearly indicate whether an economy is in recession or in a booming phase, with the central banks changing their monetary policy stance accordingly (Singh et al, 2019). The prices of crude oil are highly uncertain in the long run (EIA, 2019) as they are inclined by natural disasters, government actions, and demand and supply conditions.…”

Section: Introductionmentioning

confidence: 99%

A novel hybrid approach to forecast crude oil futures using intraday data

Manickavasagam

Visalakshmi

Apergis

2020

Technological Forecasting and Social Change

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Prediction of oil prices is an implausible task due to the multifaceted nature of oil markets. This study presents two novel hybrid models to forecast WTI and Brent crude oil prices using combinations of machine learning and nature inspired algorithms. The first approach, MARSplines-IPSO-BPNN, Multivariate Adaptive Regression Splines (MARSPlines) find the important variables that affect crude oil prices. Then, the selected variables are fed into an Improved Particle Swarm Optimization (IPSO) method to obtain the best estimates of the parameters of the Backpropagation Neural Network (BPNN). Once these parameters are obtained, the variables are fed into the BPNN model to generate the required forecasts. The second approach, MARSplines-FPA-BPNN, generates the parameters of BPNN through the Flower Pollination Algorithm (FPA). The forecasting ability of these new models is compared to certain benchmark models. The findings document that the MARSplines-FPA-BPNN model performs better than the other competitive models.

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Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective

Cited by 35 publications

References 36 publications

Bad or good neighbours: a spatial financial contagion study

Bad or good neighbours: a spatial financial contagion study

Does oil impact gold during COVID-19 and three other recent crises?

A novel hybrid approach to forecast crude oil futures using intraday data

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