Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate
Energy Economics, 2020, vol. 91, issue C
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401
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