Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3

The relationships between the oil market and other financial markets remain poorly understood. In this paper, we first construct a set of spillover indices that measure the return spillovers from the oil market to other financial markets in the short, medium, and long terms, and then we examine the drivers of spillover intensity by focusing on the effect of quantitative easing in the U. S. The main empirical results are as follows. First, the return spillovers from the oil market to other markets are driven by various frequencies (short-term to long-term), and intensified during the global financial crisis of 2007-2009. Second, quantitative easing has different effects on the spillover intensity at different frequencies, with the effect on short-term spillovers being less significant. Third, our research provides the first empirical evidence for a double-edged sword effect of quantitative easing on the systemic risk from the frequency perspective.

Automated summary

This paper examines the relationships between the oil market and other financial markets, focusing on the spillover effects at different frequencies. The study finds that these effects are driven by different frequencies and are intensified during the global financial crisis of 2007-2009. Additionally, the research provides empirical evidence for the double-edged sword effect of quantitative easing on systemic risk from a frequency perspective.