Extreme co-movements between infectious disease events and crude oil futures prices: From extreme value analysis perspective
Extreme co-movements between infectious disease events and crude oil futures prices: From extreme value analysis perspective
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DOI：
10.1016/j.eneco.2022.106054
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发表时间：
2022-06
期刊：
影响因子：
12.8
通讯作者：
Hang Lin;Zhengjun Zhang
中科院分区：
文献类型：
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作者：
Hang Lin;Zhengjun Zhang
本文通过极值分析方法研究了传染病事件与原油期货之间的极端联动关系。我们通过提供一个新的尾部风险预警框架，并将传染病视为原油期货的系统性风险因素，为文献做出了贡献。研究结果表明：（1）当极端事件发生时，传染病的尾部指数达到其经验下限，约为2.30;（2）当传染病的波动性出现跳跃时，尾部指数达到其经验下限，但没有达到其经验下限;各尾商相关系数均呈上升趋势，危机前达到峰值，危机后急剧下降。研究结果可分别为政府官员、投资者、投资组合经理和政策制定者提供启示。
This paper examines the extreme co-movements between infectious disease events and crude oil futures through extreme value analyses. We contribute to the literature by providing a novel framework of tail risk early warning and considering infectious diseases as a systemic risk factor for crude oil futures. The results provide evidence that: (1) when an extreme event occurs, the tail index of the infectious disease reaches its empirical lower threshold, which is approximately 2.30; (2) when a jump in volatility corresponding to the severeness of the epidemic is observed, the tail index reaches the lower bound, but not reversely; (3) both upside and downside extreme co-movements exist, whereas they are asymmetric; and (4) each tail quotient correlation coefficient keeps rising and reaches a peak before crises and fall sharply with the collapse of crude oil markets. The findings can offer implications for government officials, investors, portfolio managers, and policymakers, respectively.