| bibtype |
J -
Journal Article
|
| ARLID |
0517561 |
| utime |
20240103223131.9 |
| mtime |
20191210235959.9 |
| DOI |
10.5547/01956574.40.SI2.jbar |
| title
(primary) (eng) |
Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets |
| specification |
| page_count |
18 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250428 |
| ISSN |
0195-6574 |
| title
|
Energy Journal |
| volume_id |
40 |
| page_num |
157-174 |
| publisher |
| name |
International Association for Energy Economics |
|
|
| keyword |
Crude oil |
| keyword |
Forex market |
| keyword |
Volatility |
| keyword |
Connectedness |
| keyword |
Spillovers |
| keyword |
Semivariance |
| keyword |
Asymmetric effects |
| keyword |
Frequency connectedness |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0222679 |
| name1 |
Kočenda |
| name2 |
E. |
| country |
CZ |
|
| source |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0384368 |
| project_id |
GA19-15650S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| result_subspec |
JINE |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2020 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122144533.2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0302891 |
| cooperation |
| ARLID |
cav_un_auth*0295067 |
| name |
Univerzita Karlova v Praze |
| institution |
UK |
| country |
CZ |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| article_num |
3233 |
| mrcbC91 |
C |
| mrcbT16-e |
ECONOMICS|ENERGYFUELS|ENVIRONMENTALSTUDIES |
| mrcbT16-j |
0.845 |
| mrcbT16-s |
1.480 |
| mrcbT16-B |
55.825 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2019 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0517561.pdf |
| mrcbU14 |
SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0250428 Energy Journal 0195-6574 1944-9089 Roč. 40 Special Issue 2 2019 157 174 International Association for Energy Economics |
|