Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRIGS

被引：31
作者：
Chen, Yufeng [1 ,2 ,4 ]
Xu, Jing [1 ]
Hu, May [3 ]
机构：
[1] Zhejiang Gongshang Univ, Ctr Studies Modern Business, Sch Econ, Tailong Finance Sch, Hangzhou 310018, Peoples R China
[2] Capital Univ Econ & Business, Coll Business Adm, Beijing 100070, Peoples R China
[3] RMIT Univ, Sch Econ Finance & Mkt, 445 Swanston St, Melbourne, Vic 3000, Australia
[4] 18, Xuezheng St, Hangzhou 310018, Zhejiang, Peoples R China
来源：
RESOURCES POLICY | 2022年 / 78卷
基金：
中国国家自然科学基金;
关键词：
Volatility spillover; Asymmetric VAR-BEKK(DCC)-GARCH model; Crude oil price; Exchange rate; Gold price; STOCK-MARKET; INFLATION; DEPENDENCE; LINKAGES; SHOCKS; NEXUS;
D O I：
10.1016/j.resourpol.2022.102857
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
Driven by the importance of oil price, exchange rate and gold price in the world economy, we investigate asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS by estimating an asymmetric VAR-BEKK(DCC)-GARCH model using the daily data from August 2005 to March 2020. The empirical results indicate that gold is the ultimate recipient of volatility spillovers between the three markets in Brazil and India and the nexus between China's exchange rate market and crude oil market. Volatility spillovers between the three markets in Russia formed a bidirectional closed transmission path. As an emerging economy, South Africa had a weak link between its exchange rate and gold markets with the crude oil market. Furthermore, volatility spillovers exhibited self-evident asymmetry and dynamic correlations between the markets were unstable. The results are conducive to investors, policymakers, and researchers.
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页数：14
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