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Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate

Xunxiao Wang

Energy Economics, 2020, vol. 91, issue C

Abstract: This paper explores the frequency dynamics of volatility spillovers among crude oil and international stock markets using implied volatility indices. I find evidence of volatility spillovers driven mainly by short-term spillovers. Moreover, low interest rate is the primary driver of volatility spillovers, whose roles mainly stem from its impact on short-term spillovers. The impact of interest rate on long-term spillovers is significantly positive, but relatively limited. The findings highlight that although the low interest rate offers a anticipation of the stability of financial system in the long run, it can be a source of global system risk, especially in the short run.

Keywords: Frequency volatility spillovers; Interest rate; Oil market; Stock market (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401

DOI: 10.1016/j.eneco.2020.104900

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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