ABSTRACT
Implied volatility index is a popular proxy for market fear. This paper uses the oil implied volatility index (OVX) to investigate the impact of different uncertainty measures on oil market fear. Our uncertainty measures consider multiple perspectives, specifically including climate policy uncertainty (CPU), geopolitical risk (GPR), economic policy uncertainty (EPU), and equity market volatility (EMV). Based on the time-varying parameter vector autoregression (TVP-VAR) model, our empirical results show that the impact of CPU, GPR, EPU, and EMV on OVX is time-varying and heterogeneous due to these uncertainty measures containing different information content. In particular, the CPU has become increasingly important for triggering oil market fear since the recent Paris Agreement. During the COVID-19 pandemic, CPU, EPU, and EMV, rather than GPR, play a prominent role in increasing oil market fear. © 2023 Elsevier Ltd
ABSTRACT
In a low-carbon context, the connectedness among carbon, stock, and renewable energy markets has been strengthening. This study examines the effect of Brexit, the launch of the European Green Deal and the COVID-19 pandemic on the connectedness among carbon, stock, and renewable energy markets by employing Time Varying Parameter -Vector Auto Regression (TVP-VAR). First, equal interval impulse response analysis shows that in the short term, the renewable energy market suffers from a positive shock from the carbon market and this shock gradually decreases from the initial 1.6×10−3. In the long run, the connectivity between the carbon market and the stock market, and between the carbon market and the renewable energy market is almost 0. Second, we can conclude that the positive connectivity between stock market to carbon market and renewable energy market to carbon market is enhanced by COVID-19 in the short term, with values of 7.5×10−3 and 3.6×10−3 respectively. Finally, renewable energy market received a greater negative impact from the carbon market during COVID-19 than during the release of the European Green Deal, while Brexit allowed positive carbon price spillover to renewable energy price. © 2023 Elsevier Ltd
ABSTRACT
This paper presents a unique time-varying parameter vector autoregression (TVP-VAR) based extended joint connectedness approach to quantify the connectedness and transmission mechanism of shocks of nine commodities futures returns (namely;Gold and Silver from the category of precious metals;Copper, Lead, Zinc, Nickel and Aluminium from the category of base or industry metals;Natural Gas and Brent Crude Oil from energy sector) obtained from Multi Commodity Exchange of India Limited (MCX) from January 1, 2018 to December 31, 2021. This paper employs Balcilar et al. (2021)'s TVP-VAR extended joint connectedness approach, which combines the TVP-VAR connectedness approach of Antonakakis et al. (2020) with the joint spillover approach of Lastrapes and Wiesen (2021), to investigate the dynamic connectedness among the select commodity futures of interest. Our findings show that system-wide dynamic connectedness varies over time and is driven by economic events. The pandemic shocks appear to have an impact on system-wide dynamic connectedness, which peaks during the COVID-19 pandemic. Crude oil and zinc are the primary net shock transmitters, whereas gold and silver are the primary net shock receivers. We also discovered that the role of aluminum in shock transmitters and shock receivers changed during the course of the investigation. Pairwise connectivity, on the other hand, shows that Zinc, Copper, Nickel, and Crude oil are the key drivers of gold price changes, explaining the network's high degree of interconnectivity. During the study period, it was also discovered that silver has a significant influence on gold. Furthermore, in comparison to natural gas, gold's spillover activity is still relatively modest (on a scale), indicating that gold is less sensitive to market innovations. © 2023 Elsevier Ltd
ABSTRACT
We investigate the dynamic connectedness among health-tech equity and medicine prices (producer and consumer) and Medicare cost indices for the US market. In doing so, we apply Cross-Quantilogram Dynamic Connectedness based on Time-Varying Parameter Vector Autoregression (TVP-VAR) approaches to analyse historical high-frequency time-series data. TVP-VAR results show that health-tech equity is the highest volatility transmitter while Medicare price is the highest volatility receiver. We also find medicine producer price is the net volatility contributor while the retail price of medicine is the net volatility receiver. The Cross-Quantilogram analysis confirms a strong bivariate quantile dependence between respective markets at a higher quantile of each market. Cross-quantilogram demonstrates a higher level of connectedness among the markets when considering medium and long memory. We observe health-tech equity turned to be a profound volatility contributor, while medicine price (both producer and retail prices) and Medicare appeared to net volatility receiver during the time of COVID19 Pandemic. The financial performance of health-tech equity returns elevates the price volatility of medicine and eventually Medicare cost, which imply that equity return should be incorporated forming medicine prices. © 2022 Elsevier Ltd
ABSTRACT
This study investigates the impacts of crude oil-market-specific fundamental factors and financial indicators on the realized volatility of West Texas Intermediate (WTI) crude oil price. A time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV) is applied to weekly data series spanning January 2008 to October 2021. It is found that the WTI oil price volatility responds positively to a shock in oil production, oil inventories, the US dollar index, and VIX but negatively to a shock in the US economic activity. The response to the EPU index was initially positive and then turned slightly negative before fading away. The VIX index has the most significant effect. Furthermore, the time-varying nature of the response of the WTI realized oil price volatility is evident. Extreme effects materialize during economic recessions and crises, especially during the COVID-19 pandemic. The findings can improve our understanding of the time-varying nature and determinants of WTI oil price volatility. © 2022