THE ZERO LOWER BOUND AND CRUDE OIL AND FINANCIAL MARKETS SPILLOVERS

被引：8

作者：

Serletis, Apostolos ^{[1
]}

Xu, Libo ^{[1
]}

机构：

[1] Univ Calgary, Calgary, AB, Canada

来源：

MACROECONOMIC DYNAMICS | 2018年 / 22卷 / 03期

关键词：

Mean and Volatility Spillovers; Structural Breaks; VARMA-GARCH BEKK Model; PRICE SHOCKS; MONETARY-POLICY; UNIT-ROOT; COMMODITY PRICES; EFFICIENT TESTS; EXCHANGE-RATES; STOCK-MARKET; TIME-SERIES; RESPONSES; ENERGY;

D O I：

10.1017/S1365100516000365

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate mean and volatility spillovers between the crude oil market and the debt, stock, and foreign exchange markets. In doing so, we estimate a four-variable VARMA-GARCH model with a BEKK representation and also examine the possible effects of monetary policy at the zero lower bound by including a dummy variable in both the conditional mean and variance equations. We find that the crude oil market and the financial markets are tightly interconnected and that monetary policy at the zero lower bound has strengthened their linkages.

引用

页码：654 / 665

页数：12

共 31 条

[1]

Alquist R, 2013, HBK ECON, P427, DOI 10.1016/B978-0-444-53683-9.00008-6

[2] Oil prices and the rise and fall of the US real exchange rate [J].