Risk Measure between Exchange Rate and Oil Price during Crises: Evidence from Oil-Importing and Oil-Exporting Countries

This study investigates the risk spillover effect between the exchange rate of importing and exporting oil countries and the oil price. The analysis is supported by the utilization of a set of double-long memories. Thereafter, a multivariate GARCH type model is adopted to analyze the dynamic conditional correlations. Moreover, the Gumbel copula is employed to define the nonlinear structure of dependence and to evaluate the optimal portfolio. The conditional Value-at-Risk (CoVaR) is adopted as a risk measure. Findings indicate a long-run dependence and asymmetry of bidirectional risk spillover among oil price and exchange rate and confirm that the risk spillover intensity is different between the former and the latter. They show that the oil price has a stronger spillover effect in the case of oil exporting countries and the lowest spillover effect in the case of oil importing countries.

Analysis of the relationship between bitcoin, oil prices, and the Dow Jones Industrial Average using a wavelet-based approach

This paper analyzes the correlation between bitcoin, oil price fluctuations and the DOW Jones Industrial Index in the time-frequency framework. Coherent wavelet method applied to recent daily data in the United States (1863 in total). Our research has several implications and supports for policy makers and asset managers. We find that oil prices lead the U.S. market at both low and high frequencies throughout the observation period. This result suggests that sanctions against Russia by a number of countries, including the U.S., are influencing oil prices, while oil remains a major source of systemic risk to the U.S. economy and economic uncertainty between the international level is exacerbated by tensions between Russia and Ukraine. © COPYRIGHT SPIE.

On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility

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

Market efficiency and information flow between the crude palm oil and crude oil futures markets

This study analyzes the efficiency of the crude palm oil (CPO) futures market by conducting a variance ratio test and comparing it to the West Texas Intermediate (WTI) futures market. We discover that the weak-form efficient market hypothesis holds for both the CPO and WTI futures markets despite the significant difference in their liquidity. Using a scaling exponent, we investigate speculative trading activities and find that trading CPO futures in expectation of significant returns does not strongly involve a high level of risk unlike WTI futures. Our findings regarding market efficiency of the two futures markets are supported by the significant integration of the two with similar level of information flow from each market to the other. To explore the role of speculation in their market integration, we introduce a natural experimental setting using the coronavirus disease 2019 (COVID-19) pandemic, which caused a sudden decrease in the demand for fuel. The bidirectional information flow between the two markets is intensified after the COVID-19 pandemic due to lower level of speculation. The findings suggest that (i) stakeholders in the CPO market need to pay attention to the crude oil markets to anticipate its price changes, (ii) investors can use WTI futures as a hedging tool against CPO futures as long as there is mutual information flow, and (iii) regulators should carefully implement new CPO futures market policy, as either asymmetric changes in speculation or unbalanced regulation with the WTI futures market can create market distortion and regulatory arbitrage. © 2022 The Authors

On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility

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.

Impact of Coronavirus Oil Price shock on Bond Yields

This research paper looks into how the crude oil prices impact the bond yields issued by the central government of the top ten oil-importing nations before and after the outbreak of Coronavirus and analyze and compare the correlation the bond yields have with crude oil. All the top ten importers are classified into clusters based on their products to identify similarities between them and understand the correlation with oil prices before and after the coronavirus pandemic. The paper has looked into the Central bank's interest rates of these nations to explain the difference in properties that the clusters exhibited during the two periods (I.e., before and after the Coronavirus outbreak of Coronavirus).The control of these policy interest rates plays a vital role in shielding the bond yields from the shocks of oil prices. Nations that we're able to revitalize confidence in investors through their actions by adjusting their interest rates were having a better position than nations that could not change their interest rates.

Information Flow Between Crude Palm Oil and Crude Oil Futures

This study finds asymmetric information flow from the crude palm oil (CPO) futures to the West Texas Intermediate (WTI) crude oil futures market despite the CPO futures market's low liquidity and small market capitalization. Our finding is robust regardless of the 2019 Coronavirus outbreak and the asymmetric information flow becomes even unilateral considering the exchange rate risk on the Malaysian Ringgit. Finally, we explain the asymmetric information flow from the CPO futures to WTI futures market given that the impact of speculation on market efficiency crowds out that of liquidity. © Published under licence by IOP Publishing Ltd.

Dynamic correlation between crude oil and agricultural futures markets

In recent years, the relationship between agricultural commodities and crude oil has become increasingly close with the promotion of biofuel policies. This study examines the dynamic correlation between global crude oil futures and seven agricultural commodity futures by applying the consistent dynamic conditional correlation and dynamic equicorrelation models. The empirical results show that the dynamic correlation between the global crude oil futures market and China's agricultural futures market is weak compared to the global agricultural futures market. In particular, soybean oil has the strongest correlation with crude oil, while Dalian Commodity Exchange (DCE) corn and Zhengzhou Commodity Exchange wheat have the weakest correlation with crude oil. There is an indirect linkage between crude oil futures and DCE soybean meal and DCE soybean oil. Moreover, the dynamic correlation between crude oil and agricultural commodities increased during the financial crisis, the novel coronavirus (COVID-19) epidemic, and the crude oil crash crisis. Brent crude oil has a stronger co-movement with China's agricultural commodities than West Texas Intermediate crude oil and can better hedge the risk of agricultural commodities. The findings of this study provide some insights into the contagion risk management of crude oil futures and agricultural futures markets. © 2022 John Wiley & Sons Ltd.

A Retrospective Analysis and Comparison of Prisoners and Community-Based Patients with COVID-19 Requiring Intensive Care During the First Phase of the Pandemic in West Texas.

BACKGROUND: COVID-19 is a highly infectious disease which usually presents with respiratory symptoms. This virus is disseminated through respiratory droplets, and, therefore, individuals residing in close quarters are at a higher risk for the acquisition of infection. The prison population is at a significantly increased risk for infection. METHODS: Prisoners from the Montford Correctional facility in Lubbock, Texas, hospitalized in the medical intensive care unit at University Medical Center between March 1, 2020 and May 15, 2020 were compared to community-based patients hospitalized in the same medical intensive care unit. Clinical information, laboratory results, radiographic results, management requirements, and outcomes were compared. RESULTS: A total of 15 community-based patients with a mean age of 67.4 ± 15.5 years were compared to 5 prisoners with a mean age of 56.0 ± 9.0 years. All prisoners were men; 10 community-based patients were men. Prisoners presented with fever, dyspnea, and GI symptoms. The mean number of comorbidities in prisoners was 2.4 compared to 1.8 in community-based patients. Prisoners had significantly lower heart rates and respiratory rates at presentation than community-based patients. The mean length of stay in prisoners was 12.6 ± 8.9 days; the mean length of stay in community-based patients was 8.6 ± 6.5. The case fatality rate was 60% in both groups. CONCLUSIONS: Prisoners were younger than community-based patients but required longer lengths of stay and had the same mortality rate. This study provides a basis for comparisons with future studies which could involve new treatment options currently under study.