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THE ZERO LOWER BOUND AND CRUDE OIL AND FINANCIAL MARKETS SPILLOVERS

Published online by Cambridge University Press:  23 May 2016

Apostolos Serletis  and
Libo Xu
Apostolos Serletis*
Affiliation:
University of Calgary
Libo Xu
Affiliation:
University of Calgary
*
Address correspondence to: Apostolos Serletis, Department of Economics, University of Calgary, Calgary, Alberta T2N 1N4, Canada; e-mail: Serletis@ucalgary.ca; Web: http://econ.ucalgary.ca/serletis.htm.
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Abstract

We investigate mean and volatility spillovers between the crude oil market and the debt, stock, and foreign exchange markets. In doing so, we estimate a four-variable VARMA–GARCH model with a BEKK representation and also examine the possible effects of monetary policy at the zero lower bound by including a dummy variable in both the conditional mean and variance equations. We find that the crude oil market and the financial markets are tightly interconnected and that monetary policy at the zero lower bound has strengthened their linkages.

Keywords

Mean and Volatility SpilloversStructural BreaksVARMA–GARCH BEKK Model
Type
Articles
Information
Macroeconomic Dynamics , Volume 22 , Special Issue 3: Dynamics of Oil and Commodities Prices , April 2018 , pp. 654 - 665
Copyright
Copyright © Cambridge University Press 2016 

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Footnotes

We would like to thank Lutz Kilian for comments that greatly improved the paper.

References

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