Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility
Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility
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石油、黄金和外汇市场之间的动态和频域风险溢出：来自隐含波动率的证据
DOI：
10.1016/j.eneco.2021.105514
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发表时间：
2021-08-23
期刊：
影响因子：
12.8
通讯作者：
Chen, Jinyu
中科院分区：
文献类型：
--
作者：
Ding, Qian;Huang, Jianbai;Chen, Jinyu
利用Barunik和K.Rehlik(2018)构建的时频溢出框架，本研究使用隐含波动率指数来考察石油、黄金和外汇(FX)市场之间的时频风险溢出。结果表明，总体溢出效应在短期内高于长期。外汇市场对石油和黄金市场的影响大于反向影响，发达经济体的外汇市场是主要驱动因素。对溢出网络的研究结果表明，在欧债危机和新冠肺炎疫情期间，短期风险溢出效应较强。欧元、澳元和加元是危机期间主要的风险传递者，黄金和石油是短期脆弱性很高的净风险接受者。我们的研究结果对处于不同投资视野的风险经理和投资组合经理具有重要意义。
Utilising the time-frequency spillover framework constructed by Barunik and K.rehlik (2018), this study explores the time-frequency risk spillovers among the oil, gold and foreign exchange (FX) markets using implied volatility indices. The results indicate that total spillovers are higher in the short term than in the long term. The impact of FX markets on oil and gold markets is greater than the reverse impact, and the FX markets of advanced economies are the main drivers. The results for the spillover network show that the short-term risk spillover effects are stronger during the European debt crisis and the COVID-19 pandemic. The euro, Australian dollar, and Canadian dollar are dominant risk transmitters during the crisis, and gold and oil are net risk receivers with high short-term vulnerability. Our results have significant implications for risk managers and portfolio managers at different investment horizons.