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The Zero Lower Bound And Crude Oil And Financial Markets Spillovers

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  • Serletis, Apostolos
  • Xu, Libo

Abstract

We investigate mean and volatility spillovers between the crude oil market and the debt, stock, and foreign exchange markets. In doing so, we estimate a four-variable VARMA–GARCH model with a BEKK representation and also examine the possible effects of monetary policy at the zero lower bound by including a dummy variable in both the conditional mean and variance equations. We find that the crude oil market and the financial markets are tightly interconnected and that monetary policy at the zero lower bound has strengthened their linkages.

Suggested Citation

  • Serletis, Apostolos & Xu, Libo, 2018. "The Zero Lower Bound And Crude Oil And Financial Markets Spillovers," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 654-665, April.
    • Handle: RePEc:cup:macdyn:v:22:y:2018:i:03:p:654-665_00
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    Cited by:

    1. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
    2. Delpachitra, Sarath & Hou, Keqiang & Cottrell, Simon, 2020. "The impact of oil price shocks in the Canadian economy: A structural investigation on an oil-exporting economy," Energy Economics, Elsevier, vol. 91(C).
    3. Deepa D. Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2021. "Oil, Equities, and the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 214-253, April.
    4. Gondo, Rocío & Vega, Marco, 2019. "The dynamics of investment projects: Evidence from Peru," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 324-340.
    5. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
    6. Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises: A local Gaussian correlation approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(12), pages 1179-1204, December.
    7. Rehman, Mobeen Ur & Vo, Xuan Vinh, 2020. "Do alternative energy markets provide optimal alternative investment opportunities?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    8. Kyritsis, Evangelos & Andersson, Jonas, 2019. "Causality in quantiles and dynamic relations in energy markets: (De)tails matter," Energy Policy, Elsevier, vol. 133(C).
    9. Serletis, Apostolos & Xu, Libo, 2019. "The ethanol mandate and crude oil and biofuel agricultural commodity price dynamics," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
    10. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
    11. Clements, Adam & Shield, Cody & Thiele, Stephen, 2019. "Which oil shocks really matter in equity markets?," Energy Economics, Elsevier, vol. 81(C), pages 134-141.
    12. Miralles-Quirós, José Luis & Miralles-Quirós, María Mar, 2019. "Are alternative energies a real alternative for investors?," Energy Economics, Elsevier, vol. 78(C), pages 535-545.
    13. Sui, Jianli & Liu, Biying & Li, Zhigang & Zhang, Chengping, 2022. "Monetary and macroprudential policies, output, prices, and financial stability," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 212-233.

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