Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?

2021 ◽  
pp. 102648
Author(s):  
Yu Wei ◽  
Zhuo Wang ◽  
Dongxin Li ◽  
Xiaodan Chen
Keyword(s):  
Infectious Disease ◽  
Crude Oil ◽  
Oil Markets

The Long-Term Dynamics in Crude Oil Prices

2012 ◽  
Vol 260-261 ◽  
pp. 846-851
Author(s):  
Bao Ming Qiao ◽  
Si Zhang ◽  
Hao Jin
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Increasing Trend ◽  
Empirical Performance ◽  
High Volatility ◽  
Historical Data Analysis ◽  
Jump Diffusion Model

This paper reviews a long-term crude oil markets and trend of dynamic prices during 1986-2011. Based on the hypothesis that crude oil prices dynamics reflect the activity of a competitive market, a jump diffusion model is investigated to examine the empirical performance in a time series. Historical data analysis shows that crude oil prices were characterized by high volatility, high intensity jumps, and strong upward drift, and were concomitant with underlying fundamentals of crude oil markets and world economy. Furthermore, the model forecast that crude oil prices will still have an increasing trend, stay in jump for the next couple of years.

Asymmetric long-term autocorrelations in crude oil markets

2015 ◽  
Vol 424 ◽  
pp. 330-341 ◽  
Author(s):  
J. Alvarez-Ramirez ◽  
J. Alvarez ◽  
E. Rodríguez
Keyword(s):  
Crude Oil ◽  
Oil Markets

scholarly journals The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Yue Shang ◽  
Xiaodan Chen ◽  
Yifeng Zhang ◽  
Yu Wei
Keyword(s):  
Infectious Disease ◽  
Crude Oil ◽  
Precious Metal ◽  
Futures Markets ◽  
Commodity Futures ◽  
Mixed Data ◽  
Data Sampling ◽  
Oil Futures ◽  
Crude Oil Futures

The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

scholarly journals Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets

Energies ◽  
2018 ◽  
Vol 11 (11) ◽  
pp. 2893 ◽  
Author(s):  
Yuki Toyoshima ◽  
Shigeyuki Hamori
Keyword(s):  
Crude Oil ◽  
Global Financial Crisis ◽  
Time Frequency ◽  
Volatility Spillovers ◽  
West Texas ◽  
Oil Markets ◽  
Frequency Domains ◽  
Asian Currency Crisis ◽  
The Global Financial Crisis

This study analyzes return and volatility spillovers across global crude oil markets for 1 January 1991 to 27 April 2018, using an empirical technique from the time and frequency domains, and makes four key contributions. First, the spillover tables reveal that the West Texas Intermediate (WTI) futures market, which is a common indicator of crude oil indices, contributes the least to both return and volatility spillovers. Second, the results also show that the long-term factor contributes the most to returns spillover, while the short-term factor contributes the most in terms of volatility. Third, the rolling analyses show that the time-variate connectedness in terms of returns tends to be strong, but there was no noticeable change from 1991 to April 2018 in terms of volatility. Finally, the major events between 1991 and April 2018, namely the Asian currency crisis (1997–1998) and the global financial crisis (2007–2008), caused a rise in the total connectedness of returns and volatility.

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

Covered Calls Indices in Crude Oil Markets

2009 ◽  
Author(s):  
Berlinda Liu ◽  
Srikant Dash
Keyword(s):  
Crude Oil ◽  
Oil Markets

scholarly journals Assessing Market Risk in BRICS and Oil Markets: An Application of Markov Switching and Vine Copula

2021 ◽  
Vol 9 (2) ◽  
pp. 30
Author(s):  
John Weirstrass Muteba Mwamba ◽  
Sutene Mwambetania Mwambi
Keyword(s):  
South Africa ◽  
Crude Oil ◽  
South African ◽  
Asset Allocation ◽  
Markov Switching ◽  
Tail Dependence ◽  
Lower Tail ◽  
Oil Market ◽  
Oil Markets ◽  
Vine Copula

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel statistical techniques, including Vector Autoregressive (VAR), Markov-switching GJR-GARCH, and vine copula methods. Using a data set consisting of daily stock and world crude oil prices, we find evidence of a structure break in the volatility process, consisting of high and low persistence volatility processes, with a high persistence in the probabilities of transition between lower and higher volatility regimes, as well as the presence of leverage effects. Furthermore, our results based on the C-vine copula confirm the existence of two types of tail dependence: symmetric tail dependence between South Africa and China, South Africa and Russia, and South Africa and India, and asymmetric lower tail dependence between South Africa and Brazil, and South Africa and crude oil. For the purpose of diversification in these markets, we formulate an asset allocation problem using raw returns, MS GARCH returns, and C-vine and R-vine copula-based returns, and optimize it using a Particle Swarm optimization algorithm with a rebalancing strategy. The results demonstrate an inverse relationship between the risk contribution and asset allocation of South Africa and the crude oil market, supporting the existence of a lower tail dependence between them. This suggests that, when South African stocks are in distress, investors tend to shift their holdings in the oil market. Similar results are found between Russia and crude oil, as well as Brazil and crude oil. In the symmetric tail, South African asset allocation is found to have a well-diversified relationship with that of China, Russia, and India, suggesting that these three markets might be good investment destinations when things are not good in South Africa, and vice versa.

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