Author : Kais Tissaoui
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Book Synopsis Dynamic Connectedness Between Crude Oil Return and Uncertainty by : Kais Tissaoui
Download or read book Dynamic Connectedness Between Crude Oil Return and Uncertainty written by Kais Tissaoui and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the extent to which uncertainty in the energy market, the financial market, the commodity market, the economic policy, and the geopolitical events affect crude oil returns. We employ a two-instrument method in the time-frequency domain that uses the DCC-GARCH (1.1) model and the Granger causality test in the frequency domain to take into account the complicated characteristics of time series, such as nonlinearity, time variability, and unit roots. This allows us to estimate the dynamic transmission of uncertainty from various sources to oil market in the time and frequency domains. Significant dynamic conditional correlations over time are found between oil returns - commodity uncertainty, oil returns - equity market uncertainty, and oil returns - energy uncertainty. Furthermore, at each frequency, the empirical results demonstrate a significant spillover effect from the commodity, energy, and financial markets to the oil market. Additionally, we discover that sources with high persistence volatility (such as the commodities, energy, and financial markets) have more interactions with the oil market than sources with low persistence volatility (economic policy and geopolitical risk events). Our findings have significant ramifications for boosting investor trust in risky energy assets.