Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach

Chatziantoniou, Ioannis; Gabauer, David; Gupta, Rangan

doi:10.1016/j.resourpol.2023.103729

Cited by 33 publications

(3 citation statements)

References 40 publications

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“…We summarize the results of stock market connectedness in Figure 5. We report results for four different measures of connectedness of undecomposed and frequency domainbased decomposed stock returns as outlined in the recent works of [43][44][45][46][47], which can be considered as innovative extensions of the seminal contributions of [48][49][50][51], related to spillovers and connectedness in time-and frequency-domains. The technically-minded reader is referred to these two studies for the details associated with the econometric frameworks used to derive these measures of connectedness.The results demonstrate that temperature changes have a noticeable effect on the forecast accuracy of stock market connectedness at a forecast horizon of one month, with the results being generally independent of the short-or long-frequency movements of returns.…”

Section: Forecasting Results For Stock Market Connectednessmentioning

confidence: 99%

Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century

et al. 2023

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In this study, we contribute to the rapidly growing climate-finance literature by shedding light on the question of whether climate risks have predictive value for stock market returns. We measure climate risks in terms of both the change in the northern hemisphere temperature anomaly and its volatility and the change in the global temperature anomaly and its volatility. We study monthly data for eight advanced countries (Canada, France, Germany, Italy, Japan, Switzerland, the United Kingdom (UK), and the United States (US)). Our sample period runs from 1916 to 2021. We control for cross-market spillovers of stock market returns and volatility as well as other risks including oil-price returns and volatility, geopolitical risks, and the gold-to-silver price ratio as a measure of investor risk aversion. Given this large array of control variables, we apply the Lasso estimator to trace out the incremental predictive value of climate risks for subsequent stock market returns. We find that climate risks do not have systematic predictive value for subsequent stock market returns. We then extend our analysis in two ways. First, we show that climate risks have short-term out-of-sample predictive value for the connectedness of stock market returns. Second, we show that climate risks have predictive power for stock market returns when we study monthly historical UK data for the sample period from 1772 to 2021.

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Section: Forecasting Results For Stock Market Connectednessmentioning

confidence: 99%

Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century

et al. 2023

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“…In the concluding phase of our analysis, we employ the Time-Varying Parameter Vector Autoregression (TVP-VAR) Frequency Connectedness model, a methodology innovatively formulated by Chatziantoniou et al (2023), to analyze the variance series. The methodology involves implementing the variance decomposition of the TVP-VAR model, initially proposed by Antonakakis et al (2020).…”

Section: Frequency Connectednessmentioning

confidence: 99%

“…In the equation, n is defined as the square root of −1, representing the complex unit, and 𝑣 symbolizes the frequency. This sets the stage for analyzing the spectral density of 𝑟 𝑡 at the specified frequency v. As delineated by Chatziantoniou et al (2023), this approach enables consideration of 𝑟 𝑡 's spectral density at diverse frequencies, facilitating the computation of frequency-based GFEVDs. These are normalized for a refined analysis of volatility spillover effects across specific frequency ranges.…”

Section: ∑ 𝑛=1mentioning

confidence: 99%

Time-Frequency Connectedness in Global Banking: Volatility and Return Dynamics of BRICS and G7 Banks

Dammak,

Gökgöz,

Jeribi

2024

Preprint

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Addressing recent disturbances in the global financial landscape, this paper investigates volatility and return spillovers within the banking indices of BRICS and G7 countries using a time-varying parameter autoregressive model. We analyze daily bank stock indices from January 2018 to October 2023, focusing on the role of interconnectedness in shaping global financial stability, particularly during significant events. Our empirical findings shed light on the dynamic nature of volatility and return spillovers between the banking sectors of these countries. These interconnections are notably influenced by specific countries and are significantly affected by turbulent events. The connectedness among the indices shows varying patterns across different time frequencies, with short-term (1–5 days) and intermediate-long term (5 days to infinity) connectedness displaying distinct characteristics, especially during periods of global shocks. This heterogeneity underscores the complexity of financial market responses over different time horizons during crises. The study reveals that the connectedness among these indices is dynamic, showing considerable changes over time. We find that national banking indices frequently switch roles, oscillating between being net transmitters and receivers of volatility. This finding emphasizes the need to account for the varied impacts of global events on financial markets across different time frames. The research highlights the critical importance of understanding the interconnectedness in global banking markets and advocates for a dynamic approach by investors and policymakers in financial markets, stressing the necessity to adapt strategies to the continuously evolving market scenarios.

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Oil price uncertainty and predictability of multi-scale positive and negative bubbles in the BRICS: Evidence from a nonparametric causality-in-quantiles test

Gupta,

Nel,

Nielsen

2023

Reference Module in Social Sciences

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Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach

Cited by 33 publications

References 40 publications

Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century

Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century

Time-Frequency Connectedness in Global Banking: Volatility and Return Dynamics of BRICS and G7 Banks

Oil price uncertainty and predictability of multi-scale positive and negative bubbles in the BRICS: Evidence from a nonparametric causality-in-quantiles test

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