Does the Baltic Dry Index drive volatility spillovers in the commodities, currency, or stock markets?
Arthur J. Lin,
Hai Yen Chang and
Jung Lieh Hsiao
Transportation Research Part E: Logistics and Transportation Review, 2019, vol. 127, issue C, 265-283
This study examines the spillover effect of the Baltic Dry Index (BDI) on the commodities futures, currency, and stock markets by using a tri-variate VAR-BEKK-GARCH-X model on a dataset from October 1, 2007 to October 31, 2018. Results reveal that the BDI spillover effect is time-varying. The spillover effect of the BDI was insignificant during the whole sample period but significant during the 2008/2009 global financial tsunami, and its influence increased during the 2014–2016 economic slowdown in China. The BDI serves as a short-term rather than long-term indicator for the commodities, currency, and equity markets, especially during financial crises.
Keywords: Volatility spillover; VAR–BEKK–GARCH-X model; Baltic Dry Index; Dry bulk shipping (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:transe:v:127:y:2019:i:c:p:265-283
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