The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway

Evangelos Kyritsis and Apostolos Serletis

No 2017/7, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

Abstract: This paper investigates mean and volatility spillovers between the crude oil market and three financial markets, namely the debt, stock, and foreign exchange markets, while providing international evidence from each of the seven major advanced economies (G7), and the small open oil-exporting economy of Norway. Using monthly data for the period from May 1987 to March 2016, and a four-variable VARMA-GARCH model with a BEKK variance specification, we find significant spillovers and interactions among the markets, but also absence of a hierarchy of influence from one specific market to the others. We further incorporate a structural break to examine the possible effects of the prolonged episode of zero lower bound in the aftermath of the global financial crisis, and provide evidence of strengthened linkages from all the eight international economies.

Keywords: Crude oil; Financial markets; Mean and volatility spillovers; Structural breaks; VARMA-BEKK model (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 G15 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2017-05-31
New Economics Papers: this item is included in nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: The zero lower bound and market spillovers: Evidence from the G7 and Norway (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:nhhfms:2017_007

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