A view to the long-run dynamic relationship between crude oil and the major asset classes☆☆☆
A view to the long-run dynamic relationship between crude oil and the major asset classes☆☆☆
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DOI：
10.1016/j.iref.2014.06.002
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发表时间：
2014-09
影响因子：
4.5
通讯作者：
M. Turhan;A. Şensoy;Kevser Ozturk;E. Hacihasanoglu
中科院分区：
文献类型：
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作者：
M. Turhan;A. Şensoy;Kevser Ozturk;E. Hacihasanoglu
使用 DCC-MIDAS 模型，我们估计原油与主要资产类别之间随时间变化的长期相关性；然后用各种方法确定这些相关性的结构变化。我们发现，在我们的样本期内，原油和黄金（美元指数）的相关性程度呈现出强烈的正（负）长期趋势。另一方面，2008 年全球金融危机之后，原油、股票和债券市场之间的正相关性几乎瞬间增强。继 2013 年美联储发出紧缩信号后，我们观察到短期和长期成分的原油与美元指数相关性大幅上升。这种情况可能表明这两种资产之间的关系已恢复到危机前的状态。
Using DCC-MIDAS model, we estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies. We reveal a strong positive (negative) secular trend toward higher correlation magnitudes across crude oil and gold (dollar index) over our sample period. On the other hand, the increase toward higher positive correlations between crude oil-stock and -bond market occur in a near instantaneous fashion after the 2008 global financial crisis. Following Fed's tapering signals in 2013, we observe a considerable rise in the crude oil-dollar index correlation for both short- and long-run components. Such a situation might indicate the reversion of the relationship between these two assets to pre-crisis status.