 How do financial and commodity markets volatility react to real economic activity?Christian Urom, Gideon Ndubuisi and Khaled Guesmi Finance Research Letters, 2022, vol. 47, issue PB Abstract: This paper examines the relationship between real economic activity and the financial and commodity markets using two approaches. First, we use the Discrete Wavelet Method to investigate the lead-lag dependence between real economic activity and these markets. Second, we use the Time-Varying Parameter VAR (TVP-VAR) model with stochastic volatility to examine the short- and long-term level of integration among these variables. Our wavelet results show that although the real economic activity shock lead co-movement with the chosen markets, it was led by these markets during periods of economic downturn as evidenced during the COVID-19 pandemic. Regarding the TVP-VAR results, we find that the connectedness between economic activity and the chosen markets is stronger during economic downturns or in the long run. Keywords: Economic activity; Energy market; Stock market; Precious Metals; Asymmetric shocks Spillover; Wavelets, time-frequency domain (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000563 DOI: 10.1016/j.frl.2022.102733 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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