How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques.
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques.
复制标题
2019冠状病毒病如何推动商品和金融市场之间的联系：来自TVP-VAR和分位数因果关系技术的证据。
DOI：
10.1016/j.resourpol.2020.101898
复制
发表时间：
2021-03
期刊：
影响因子：
10.2
通讯作者：
Oliyide JA
中科院分区：
文献类型：
--
作者：
Adekoya OB;Oliyide JA
据报道，许多商品和金融市场在2019冠状病毒病大流行期间表现不佳，本研究旨在研究大流行对市场之间连通性的影响。有几个原因表明，从全球金融周期渠道的角度来看，疫情除了影响市场表现外，还可能成为市场连通性的驱动因素。因此，我们首先采用最近发展的时变参数向量自回归（TVP-VAR）技术来检验商品和金融资产之间的波动溢出。我们发现了市场剧烈波动的证据，黄金和美元是冲击的净接受者，而其他市场则是净传播者。有了这些证据，我们使用线性和非线性（分位数因果关系）因果关系检验来评估COVID-19大流行对整个市场连通性的影响。分位数因果检验优于线性格兰杰因果检验，结果显示，COVID-19大流行的两项衡量指标（基于传染病的股票市场波动率和美国COVID-19报告病例的增长率）对整个市场的连通性产生了显著的因果影响，特别是在中低分位数。总的来说，这些发现证明，大流行在很大程度上导致了各种商品和金融市场的风险传播。这是因为它大大增加了投资者和政策的不确定性，极大地改变了全球金融周期，从而导致全球资本流动，以及不同金融市场资产价格的波动。
With many commodity and financial markets reportedly experiencing poor performances during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on the connectedness among the markets. There are several reasons that suggest that apart from the pandemic affecting the performances of the markets, it can also be a driver of their connectedness, coming from the perspective of the global financial cycle channel. Therefore, we first employ the recently developed time-varying parameter vector autoregressions (TVP-VAR) technique to examine the volatility spillover among the commodity and financial assets. We find evidence of strong volatility across the markets, with gold and USD being net receivers of shocks, and others, net transmitters. With this evidence, we proceed to the evaluation of the influence of the COVID-19 pandemic on the connectedness across the markets using both the linear and non-linear (causality-in-quantiles) causality tests. The causality-in-quantiles test outperforms the linear Granger-causality test, and the results show significant causal impacts of the two measures of COVID-19 pandemic (infectious diseases-based equity market volatility and the growth rate of the U.S. COVID-19 reported cases) on the connectedness across the markets, especially at the lower and middle-level quantiles. Overall, these findings prove that the pandemic has been largely responsible for risks transmission across various commodity and financial markets. This is because it has significantly raised investors’ and policy uncertainties and immensely altered global financial cycle which in turn results in global flows of capital, and movements in the prices of assets across different financial markets.
登录
查看更多内容
影响因子：
10.2
作者：
Akbar, Muhammad;Iqbal, Farhan;Noor, Farzana
通讯作者：
Noor, Farzana
DOI：
10.1016/j.intfin.2017.12.004
发表时间：
2018-05-01
影响因子：
4
作者：
Baur, Dirk G.;Hong, KiHoon;Lee, Adrian D.
通讯作者：
Lee, Adrian D.
影响因子：
2.5
作者：
Basher, Syed Abul;Haug, Alfred A.;Sadorsky, Perry
通讯作者：
Sadorsky, Perry
DOI：
10.1108/ijesm-02-2019-0013
发表时间：
2020-01-06
影响因子：
3.1
作者：
Adekoya, Oluwasegun Babatunde;Adebiyi, Anthony Noah
通讯作者：
Adebiyi, Anthony Noah
影响因子：
12.8
作者：
Awartani, Basel;Maghyereh, Aktham Issa
通讯作者：
Maghyereh, Aktham Issa