Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses

Yaya, OlaOluwa S.; Ogbonna, Ahamuefula E.; Adesina, Oluwaseun A.; Alobaloke, Kafayat A.; Vo, Xuan Vinh

doi:10.1016/j.resourpol.2022.103036

Cited by 6 publications

(1 citation statement)

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“…For oil supply and demand shocks, the decomposed oil supply and oil inventory demand shocks constructed by Baumeister and Hamilton [86] were downloaded from the personal website of Professor Christiane Baumeister at "https://sites.google.com/site/cjsbaumeister/research (accessed on 14 August 2023)". All the price series have been transformed to log returns as a way to circumvent the problem of non-stationarity or unit roots of the time series [87] to posteriorly be used as inputs to estimate volatility, as described in the methodology section. The analyzed period comprises 246 observations ranging from October 2002 to March 2023.…”

Section: Data and Descriptive Statisticsmentioning

confidence: 99%

Volatility Spillovers in Emerging Markets: Oil Shocks, Energy, Stocks, and Gold

Alzate-Ortega,

Garzón,

Molina-Muñoz

2024

Energies

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This paper extends the literature on the relationship between oil price shocks and financial markets by examining the effect of supply and demand oil shocks on emerging energy markets, stocks of emerging markets, and gold and exploring the impact of unpredictable oil events on the degree of connectedness among these markets. We show that the effect of supply oil price disturbances drives volatility spillovers in emerging markets with prominent medium- and long-term effects, unlike demand oil price unanticipated changes, particularly during turbulent periods such as the 2008 subprime crisis, the COVID-19 pandemic, and the 2015 oil price crash. These volatility spillover effects are influenced by a marked relationship between supply oil disturbances and emerging energy markets. We also expose that the COVID-19 pandemic volatility spillover consequences in emerging markets are unprecedented compared to the 2008 financial crisis. This can be attributed to the different nature of the related oil price disturbances and financial crises. Overall, the findings highlight the role of crude oil supply shocks as drivers not only of volatility dynamics in energy and equity emerging markets but also of financial connectedness patterns in these economies.

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Section: Data and Descriptive Statisticsmentioning

confidence: 99%