 Structural change in the correlation, return and volatility spillovers: evidence from the oil, stock and exchange rate markets in the United StatesJung-Bin Su Economic Research-Ekonomska Istraživanja, 2022, vol. 35, issue 1, 6918-6944 Abstract: The present study employed a bivariate GJR-GARCH-MX-t model with a Structural break (SB) to explore the status variation of five financial features in three markets in the United States (US) that arose as a result of the shocks from both the global financial crisis (GFC) and subsequently quantitative easing (QE) policies. The results showed that the GFC and QE first cause a SB at the oil market and the stock market; the SB did not occur in the exchange rate (FX) market. Moreover, before and after the SB, the status of the three types of pairwise markets′ interaction indicators was significantly different, especially for the oil-stock paired market data. However, the status of the two single market indicators was almost the same, especially for the FX market data. In addition, during the two subperiods the stock market and the FX market dominated in the case of the return and volatility spillovers, respectively. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:reroxx:v:35:y:2022:i:1:p:6918-6944 Ordering information: This journal article can be ordered from DOI: 10.1080/1331677X.2022.2054453 Access Statistics for this article Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals |
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