scholarly journals Volatility Spillovers between Crude Oil and Agricultural Commodity Markets since the Financial Crisis

2019 ◽  
Vol 11 (2) ◽  
pp. 396 ◽  
Author(s):  
Yaxian Lu ◽  
Longguang Yang ◽  
Lihong Liu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Spillover Effects ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
Short Term ◽  
Crisis Period ◽  
Volatility Spillovers

This study examines the nature and dynamics of volatility spillovers between crude oil and agricultural commodity markets since the 2008–09 financial crisis. We tested for volatility spillovers with a flexible bivariate heterogeneous autoregressive model to identify the short-, mid-, and long-term spillover effects. We observed bidirectional spillovers of short-term volatilities between crude oil and agricultural commodity markets in the crisis period, compared to mid-term and long-term volatilities of corn being transmitted to the crude oil volatility in the post-crisis period. These findings suggest that crude oil and agricultural commodity markets have become less integrated after the 2008–09 crisis.

Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives

2020 ◽  
Vol 8 (5) ◽  
pp. 401-433
Author(s):  
Jinxin Cui ◽  
Huiwen Zou
Keyword(s):  
Economic Policy ◽  
Financial Crisis ◽  
Spillover Effects ◽  
The United States ◽  
Practical Significance ◽  
Policy Uncertainty ◽  
The Novel ◽  
Short Term ◽  
Economic Policy Uncertainty ◽  
Crisis Period

AbstractThis paper investigates the frequency connectedness among economic policy uncertainties of G20 countries using the novel frequency connectedness proposed by Barunik and Krehlik (2018) which can depict the dynamic connectedness not only over time but also across different frequencies. The empirical results obtained in this paper demonstrate that, firstly, the connectedness among economic policy uncertainties is significant, and the spillover effects during the financial crisis and the post-financial crisis period are stronger than the pre-financial crisis period. Secondly, the United States, France, and Australia are the main net-transmitters of the economic policy uncertainty spillovers while Brazil, Italy, Mexico, and Russia act as the main net-recipients of the spillovers. Thirdly, the major international events may significantly enhance the spillover transmissions of economic policy uncertainty among different countries, thus increasing the magnitude of the total connectedness. Finally, the economic policy uncertainty spillovers are mainly transmitted in the short term, i.e., 1∼4 months instead of longer time horizons in terms of the magnitude of the frequency connectedness measures. The findings of this paper not only have profound theoretical and practical significance but also provide several significant implications for the policymakers, supervision agents, international traders, and various investors.

scholarly journals Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets

Mathematics ◽  
2021 ◽  
Vol 9 (19) ◽  
pp. 2484
Author(s):  
Vladimir Balash ◽  
Alexey Faizliev ◽  
Sergei Sidorov ◽  
Elena Chistopolskaya
Keyword(s):  
Stock Market ◽  
Spillover Effects ◽  
Political Crisis ◽  
Dynamic Factor ◽  
Short Term ◽  
Volatility Spillovers ◽  
Conditional Time ◽  
Russian Stock Market ◽  
The Impact

This study analyzes the spillover effects of volatility in the Russian stock market. The paper applies the Diebold–Yilmaz connectedness methodology to characterize volatility spillovers between Russian assets. The spectral representation of the forecast variance decomposition proposed by Baruník and Křehlik is used to describe the connectivity in short-term (up to 5 days), medium-term (6–20 days) and long-term (more than 20 days) time frequencies. Additionally, two new augmented models are developed and applied to evaluate conditional spillover effects in different sectors of the Russian economy for the period from January 2012 to June 2021. It is shown that spillover effects increase significantly during political and economic crises and decrease during periods of relative stability. The rising of the overall level of spillovers in the Russian stock market coincides in time with the political crisis of 2014, the intensification of anti-Russian sanctions in 2018 and the fall in oil prices and the start of the pandemic in 2020. With the consideration of the augmented models it can be argued that a significant part of the long-term spillover effects on the Russian stock market may be caused by the influence of external economic and political factors. However, volatility spillovers generated by internal Russian idiosyncratic shocks are short-term. Thus, the proposed approach provides new information on the impact of external factors on volatility spillovers in the Russian stock market.

scholarly journals Volatility Spillovers Arising from the Financialization of Commodities

2018 ◽  
Vol 11 (4) ◽  
pp. 72 ◽  
Author(s):  
Wing Chan ◽  
Bryce Shelton ◽  
Yan Wu
Keyword(s):  
Commodity Prices ◽  
Spillover Effects ◽  
Realized Volatility ◽  
Commodity Markets ◽  
Exchange Traded Funds ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Difference ◽  
Index Investment ◽  
The Impact

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs), amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture, and non-energy commodity markets. The results show financialization has an impact on the volatility of commodity prices, predominantly for non-energy commodities. However, the impact on volatility is not symmetric across all commodities. The analysis of index investment and investors’ positions in futures markets shows that, when a relationship exists, it is generally negatively correlated with the realized volatility of non-energy commodities. Using realized volatility in the difference-in-difference model provides estimates that are inconsistent with other findings that non-energy commodities, traded as a part of indices, have experienced higher volatility. The results are similar to the index investment and futures market analysis, where increased participation by investors through new investment products has put download pressure on realized volatility.

scholarly journals Kenyan Universities: On the Brink of Financial Insolvency

2019 ◽  
pp. 25-27
Author(s):  
Ishmael Munene
Keyword(s):  
Higher Education ◽  
Financial Crisis ◽  
National Level ◽  
Entire System ◽  
Policy Changes ◽  
Short Term ◽  
Institutional Level ◽  
Financial Governance

The financial crisis engulfing Kenyan universities has impacted operations and raised doubts about long-term sustainability. This crisis has a double impetus: at the national level, policy changes impacting the entire system, and at the institutional level, challenges in terms of financial governance. A short-term solution requires an immediate infusion of cash, but a long-term strategy entails a multipronged reform in the financing of higher education at national and institutional levels.

scholarly journals A Hidden Theory in Financial Crisis Journalism?

2015 ◽  
Vol 36 (2) ◽  
pp. 113-127 ◽  
Author(s):  
Paul Bjerke ◽  
Birgitte Kjos Fonn
Keyword(s):  
Financial Crisis ◽  
Present Article ◽  
Debt Crisis ◽  
Framing Theory ◽  
Political Economics ◽  
Press Coverage ◽  
Short Term ◽  
Content Analyses ◽  
European Debt Crisis

Abstract The present article analyses press coverage of the dramatic finance crisis and the ensuing European debt crisis in Europe, in three decisive periods. The authors conduct quantitative and qualitative content analyses of two major mainstream Norwegian newspapers, Aftenposten and Dagbladet, employing concepts and methods from framing theory, to analyse coverage in the framework of two contesting schools in economics. The study finds traces of discussions of finance brokers’ ethics and some discussions of governmental regulations that made the 2008 crisis possible, but few indications of a basic discussion of the system as such. The authors conclude that the crisis was framed more as a superficial, short-term problem (as per a mainstream, neoliberal theory of economics) than as a deeper and long-term system problem (as a more critical ‘political economics’ theory would have held).

Causes and Consequences of the Korean Financial Crisis

2000 ◽  
Vol 03 (01) ◽  
pp. 1-26 ◽  
Author(s):  
Dosoung Choi ◽  
Frank C. Jen ◽  
H. Han Shin
Keyword(s):  
Corporate Governance ◽  
Financial Crisis ◽  
Capital Markets ◽  
Business Sector ◽  
External Shocks ◽  
Business Risk ◽  
Short Term ◽  
The Past ◽  
Debt Capital

During the past decade, the profitability of Korean firms has declined significantly while their business risk has risen substantially. The deteriorating condition was largely due to excessive investments in manufacturing capacity that were financed mainly with short-term debt capital. The measures to restructure the system are summarized in two major thrusts: one, to reform corporate governance so that the business sector becomes more transparent and more value-enhancing; and two, to help develop long-term capital markets so that the domestic financial system becomes less vulnerable to external shocks.

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