scholarly journals Why the Correlation Between Oil Prices and US Dollar Exchange Rate Is Time-varying?----Explanations Based on Role of Key Mediators

2018 ◽  
Author(s):  
Xiangyun Xu ◽  
Jia Liao ◽  
Yu Shi
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Oil Prices ◽  
Time Varying ◽  
Market Sentiment ◽  
Mediating Factors ◽  
Egarch Model ◽  
Us Dollar ◽  
Mediating Factor

Using DCC-GARCH and EGARCH model, this paper finds that since 1990, the relationship between crude oil prices and the US dollar index is time-varying, demonstrating a process of “very weak correlation—negative correlation—enhanced negative correlation—weakening negative correlation”, but the existing research does not provide enough reasonable explanation. Therefore, this paper proposed a “key mediating factors” hypothesis which points out that whether there is a common “key mediating factor” is important source of the time-varying relationship between two assets. We argue that market trend and financial market sentiment undertook the role of “key mediating factor” during the period of “2002 to the financial crisis” and “financial crisis to 2013”, while other periods lack the “key mediating factors”.

Return Characteristics of Commodities

2018 ◽  
Author(s):  
Dianna Preece
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Institutional Investors ◽  
Financial Stress ◽  
Commodity Futures ◽  
Futures Contracts ◽  
The Subject ◽  
Diversified Portfolio

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

The Dynamic Relationship between Oil Prices and Exchange Rates

2017 ◽  
Vol 2 (2) ◽  
Author(s):  
Hamid Sakaki
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Oil Prices ◽  
Significant Negative Correlation ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Dynamic Relationship ◽  
Daily Data ◽  
Us Dollar ◽  
Dollar Depreciation

<p>Using daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates by DCC-GARCH model. The results show the significant negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price is coinciding with US dollar depreciation and vice versa.  This correlation strengthens in negative direction during financial crisis period, while it shifts to an upward trend after financial crisis period.</p>

The Dynamic Relationship between Oil Prices and Exchange Rates

2017 ◽  
Vol 2 (2) ◽  
Author(s):  
Hamid Sakaki
Keyword(s):  
Financial Crisis ◽  
Exchange Rates ◽  
Oil Prices ◽  
Significant Negative Correlation ◽  
Crisis Period ◽  
Dynamic Correlation ◽  
Dynamic Relationship ◽  
Daily Data ◽  
Us Dollar ◽  
Dollar Depreciation

<p>Using daily data of oil prices and exchange rates of 14 countries for the period January 1999 to November 2014, this study examines the dynamic correlation between oil prices and exchange rates by DCC-GARCH model. The results show the significant negative correlation between oil prices and exchange rates over the period. These results imply that the increase of oil price is coinciding with US dollar depreciation and vice versa.  This correlation strengthens in negative direction during financial crisis period, while it shifts to an upward trend after financial crisis period.</p>

scholarly journals Sovereign - Bank Default Risk Linkages During the Greek Financial Crisis and the Role of the Italian Debt

2018 ◽  
Vol 8 (4) ◽  
pp. 115
Author(s):  
Giulio Cifarelli ◽  
Giovanna Paladino
Keyword(s):  
Financial Crisis ◽  
Regime Switching ◽  
Default Risk ◽  
Time Varying ◽  
Greek Crisis ◽  
Credit Risks ◽  
Correlation Structures ◽  
European Banks ◽  
Bond Spreads

The Greek crisis has brought to light the strong nexus between the credit risks of European banks and their sovereign. We study this phenomenon in Germany, France, Italy and Spain by estimating the conditional correlations between sovereign and bank CDS bond spreads over the period 2006-2015. Trivariate time-varying regime switching correlation analyses, such as the STCC-GARCH and DSTCC-GARCH, are implemented to associate causally the state shifts to the dynamics of the so-called “transition variables”. We find evidence of significant changes in the correlation structures due to the evolution of both the Greek and Italian crises.

scholarly journals Time-varying Integration of Stock Markets from Global and Regional Perspective in Asia-Pacific

2021 ◽  
Vol 25 (3) ◽  
pp. 466-491
Author(s):  
Hayun Kusumah ◽  
Marwan Asri ◽  
Kusdhianto Setiawan ◽  
Bowo Setiyono
Keyword(s):  
Financial Crisis ◽  
Stock Markets ◽  
Market Integration ◽  
Global Market ◽  
Asia Pacific ◽  
Dominant Factor ◽  
Time Varying ◽  
Regional Market ◽  
Regional Perspective

This study investigates the time-varying integration of stock markets from a global and regional perspective, the consequences of two major global financial crises, i.e., the Asian Financial Crisis and the subprime mortgage, and the Crisis triggered by COVID-19. We contribute to the growing amount of literature on market integration, especially on the role of regional to global market integration. Although regional integration encourages an acceleration of global integration, the effect of a regional factor is not uniform among regions. It is important to understand regional to global market integration and the consequences during the crises. This study employs time-series data from economic territories based on the Morgan Stanley Capital International (MSCI) Asia-Pacific classification. It introduces an alternative measurement of time-varying integration by considering the correlation of regional and global markets using a simple international model, equivalent to the capital asset pricing model (CAPM). The result shows that the market integrations are time-varying both globally and regionally. The domestic markets are affected by the global market and its regional market, as the role of a regional market emerges during the financial crisis period. We find the different responses of stock markets during the Covid-19 period as a dominant factor to exacerbate the market return globally. In the long run, the upward trend for the regional market integration in both developed and emerging markets is inherent to the global market integration.DOI: 10.26905/jkdp.v25i3.5822

scholarly journals Examining the Asymmetric Impact of COVID-19 Pandemic and Global Financial Crisis on Dow Jones and Oil Price Shock

2021 ◽  
Vol 13 (9) ◽  
pp. 4688
Author(s):  
Khurram Shehzad ◽  
Umer Zaman ◽  
Xiaoxing Liu ◽  
Jarosław Górecki ◽  
Carlo Pugnetti
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Jones Index ◽  
Egarch Model ◽  
Peak Points ◽  
Asymmetric Impact ◽  
The Global Financial Crisis ◽  
The Impact ◽  
Squared Residuals

COVID-19 has significantly affected the financial and commodity markets. The purpose of this investigation is to understand the impact of the COVID-19 crisis on Dow Jones and West Texas Intermediate (WTI) oil returns in relation to other crises using the Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The results indicate that COVID-19 and the accompanying lockdown have adversely impacted both yields and that the impact on oil prices is more significant than on the Dow Jones index. The variance and squared residuals of oil prices and the Dow Jones reached their highest historical levels during the COVID-19 outbreak, even higher than during the global financial crisis, and especially the VaR of both markets reached their historical peak points during the COVID-19 era. The variance of WTI during COVID-19 is higher than that of DJI, as was also the case during the financial crisis. These findings confirm that COVID-19 has negatively impacted investors’ ability to determine optimal portfolios and thus the sustainability of financial and energy markets more than the global financial crisis of 2007–2009. We, therefore, suggest that policy changes are needed to maintain financial sustainability and help investors deal with future financial and other crises.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

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