☆ 4.2 Article

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

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2024)

相关参考文献

注意：仅列出部分参考文献，下载原文获取全部文献信息。

Article Business, Finance

Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic

Nikolaos Antonakakis et al.

Summary: This paper examines the dynamic connectedness among oil price implied volatilities and other asset classes. The results show that the levels of connectedness vary over time and fluctuate at very high levels. The oil market is becoming more integrated with the financial markets, and the oil price implied volatilities are impacted by fluctuations in global financial markets. These findings have important implications for portfolio and risk management.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2023)

添加到收藏夹

Article Economics

Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic

Ioannis Chatziantoniou et al.

Summary: This study introduces a new framework for analyzing systematic tail risk transmission mechanisms, combining the CAViaR model with the TVP-VAR based connectedness approach. The results demonstrate that heating oil and kerosene are persistent net transmitters of shocks, highlighting the role of liquidity in the relevant markets. Furthermore, the role of crude oil types appears to have shifted after developments in the energy market. Overall, the findings suggest that major crisis episodes positively affect total connectedness, and the recent COVID-19 pandemic has the potential to increase both tail risk and exposure to losses similar to the Global Financial Crisis of 2007-2008.

ENERGY ECONOMICS (2022)

添加到收藏夹

Article Business, Finance

Oil prices, exchange rates and interest rates

Lutz Kilian et al.

Summary: This study investigates the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate, and provides direct empirical support for theoretical models of the link between these variables using a novel identification strategy.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2022)

添加到收藏夹

Article Thermodynamics

Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives

Jinxin Cui et al.

Summary: This study explores the time-frequency dependence and risk connectedness between oil and stock markets in oil-importing and oil-exporting countries. The results indicate stronger dependence structures between oil and stock markets in the long-term, with risk spillovers predominantly occurring in the long run and intensifying during major international crisis events.

ENERGY (2021)

添加到收藏夹

Article Thermodynamics

Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic

Pengfei Zhu et al.

Summary: The study indicates that during the COVID-19 period, the risk spillovers between oil and stocks are more pronounced, with significant risk spillovers from the US and Chinese stock markets to the oil markets; the impact of the second board stock markets on the oil market is significant, especially during the COVID-19 outbreak; and the bidirectional risk spillovers between China and oil have rapidly increased during the COVID-19 pandemic.

ENERGY (2021)

添加到收藏夹

Article Business, Finance

Static and dynamic connectedness between oil price shocks and Spanish equities: a sector analysis

Zaghum Umar et al.

Summary: This study examines the relationship between oil price shocks and Spanish sector equity indices from January 2000 to July 2019, finding significant system-wide connectedness. Demand and risk shocks are key transmitters and receivers among the oil shocks, while different sectors show varying levels of connectivity over time and between sectors. Financials, Telecommunications, Industrials, and Utilities emerge as the most influential sectors.

EUROPEAN JOURNAL OF FINANCE (2021)

添加到收藏夹

Article Economics

Time and frequency connectedness among oil shocks, electricity and clean energy markets

Muhammad Abubakr Naeem et al.

ENERGY ECONOMICS (2020)

添加到收藏夹

Article Business, Finance

The effect of oil price shocks on asset markets: Evidence from oil inventory news

Ron Alquist et al.

JOURNAL OF FUTURES MARKETS (2020)

添加到收藏夹

Article Economics

Dynamic connectedness of oil price shocks and exchange rates

Farooq Malik et al.

ENERGY ECONOMICS (2019)

添加到收藏夹

Article Economics

Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1

Sang Hoon Kang et al.

ENERGY ECONOMICS (2019)

添加到收藏夹

Article Economics

Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective

Xunxiao Wang et al.

ENERGY ECONOMICS (2019)

添加到收藏夹

Article Economics

Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model

Qiang Ji et al.

ENERGY ECONOMICS (2019)

添加到收藏夹

Article Business, Finance

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

Jozef Barunik et al.

JOURNAL OF FINANCIAL ECONOMETRICS (2018)

添加到收藏夹

Article Management

Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

Zihui Yang et al.

MANAGEMENT SCIENCE (2017)

添加到收藏夹

Article Economics

The role of oil prices in the forecasts of South African interest rates: A Bayesian approach

Rangan Gupta et al.

ENERGY ECONOMICS (2017)

添加到收藏夹

Article Business, Finance

Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method

Walid Mensi et al.

JOURNAL OF BANKING & FINANCE (2017)

添加到收藏夹

Article Business, Finance

Downside and upside risk spillovers between exchange rates and stock prices

Juan C. Reboredo et al.

JOURNAL OF BANKING & FINANCE (2016)

添加到收藏夹

Article Economics

The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes

Aktham I. Maghyereh et al.

ENERGY ECONOMICS (2016)

添加到收藏夹

Article Economics

The time varying effect of oil price shocks on euro-area exports

Marianna Riggi et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2015)

添加到收藏夹

Article Economics

Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

Marco Del Negro et al.

REVIEW OF ECONOMIC STUDIES (2015)

添加到收藏夹

Article Economics

On the network topology of variance decompositions: Measuring the connectedness of financial firms

Francis X. Diebold et al.

JOURNAL OF ECONOMETRICS (2014)

添加到收藏夹

Article Economics

The high-frequency response of energy prices to US monetary policy: Understanding the empirical evidence

Carlo Rosa

ENERGY ECONOMICS (2014)

添加到收藏夹

Article Business, Finance

Does the Fed Control Interest Rates?

Eugene F. Fama

REVIEW OF ASSET PRICING STUDIES (2013)

添加到收藏夹

Article Economics

Time-Varying Effects of Oil Supply Shocks on the US Economy

Christiane Baumeister et al.

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS (2013)

添加到收藏夹

Article Economics

Real-Time Measurement of Business Conditions

S. Boragan Aruoba et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2009)

添加到收藏夹

Article Economics

Oil prices and real exchange rates

Shiu-Sheng Chen et al.

ENERGY ECONOMICS (2007)

添加到收藏夹

Article Economics

Testing for short- and long-run causality: A frequency-domain approach

Jorg Breitung et al.

JOURNAL OF ECONOMETRICS (2006)

添加到收藏夹

Article Economics

Financial contagion

F Allen et al.

JOURNAL OF POLITICAL ECONOMY (2000)

添加到收藏夹

© Peeref 2019-2024. All rights reserved.