Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10473018" target="_blank" >RIV/00216208:11230/19:10473018 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/19:00517561

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=tudHPz5wmk" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=tudHPz5wmk</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5547/01956574.40.SI2.jbar" target="_blank" >10.5547/01956574.40.SI2.jbar</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

Popis výsledku v původním jazyce

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007-2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress.

Název v anglickém jazyce

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

Popis výsledku anglicky

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007-2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA19-15650S" target="_blank" >GA19-15650S: Správa centrálních bank: Transparence a komunikace po krizi</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Journal

ISSN

0195-6574

e-ISSN

1944-9089

Svazek periodika

40

Číslo periodika v rámci svazku

SI2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

18

Strana od-do

157-174

Kód UT WoS článku

000616855700010

EID výsledku v databázi Scopus

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