Do macroprudential policies reduce risk spillovers between energy markets?: Evidence from time-frequency domain and mixed-frequency methods
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DOI: 10.1016/j.eneco.2024.107558
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Keywords
Energy market risk spillover; GARCH-MIDAS-MPP model; Macroprudential policy; Mixed-frequency; Time-frequency domain; TVP-VAR model;All these keywords.
JEL classification:
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
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