uncertainties and extreme risk spillover in the energy markets a time varying copula based covar approach abstract in this paper we explore the impact of uncertainties on energy prices by measuring four types of delta conditional value at risk covar using six time varying copulas three different measures of uncertainty economic policy financial markets and energy markets are considered and the magnitude and asymmetric effects of their influence are investigated our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty the risks of clean energy and crude oil returns are more sensitive to uncertainties in the financial and energy markets while the impact of economic policy uncertainty is relatively weak the upside and downside covars and covars demonstrate significant asymmetric effects in response to extreme uncertainty movement our findings therefore have important implications for energy portfolio investment

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

modeling the co movements between crude oil and refined petroleum markets abstract in this paper we investigate two types of asymmetries i e the asymmetry in the lower and upper tail dependences and the asymmetry in the propagation of crisis bubble between crude oil market and refined petroleum markets based on copula models thirteen copula models with different types of dependence structures and time varying dependence parameters are considered we find that in general the malm copula fits our sample data best based on aic criterion we find that lower and upper tail dependences are both positive indicating that crude oil and refined product markets tend to move together using the asymmetric copulas we find asymmetry in tail dependence between crude oil and heating oil returns and that between crude oil and jet fuel returns interestingly upper tail dependence is significantly greater than the lower tail dependence for the pre crisis period while the result is reversed for the post crisis period finally although our data prefers the nonexchangeable malm copula the asymmetry in the propagation of crisis bubble between crude oil and refined product returns is very weak

oil and foreign exchange market tail dependence and risk spillovers for mena emerging and developed countries vmd decomposition based copulas abstract this paper examines the short and medium run dependence structures between oil and currency markets for mena other developing and developed countries using a novel multiresolution decomposition method namely the variational mode decomposition vmd along with a battery of time invariant and time varying symmetric and asymmetric copula functions further we assess the downside and upside short and medium run risk spillovers from oil to u s exchange rate returns and vice versa by computing the conditional value at risk covar risk measures before the copula estimations we apply the spillover index of diebold and yilmaz 2012 and network diagrams to identify and select the currencies that are the most significant net contributors or net receivers of returns from to the oil currency markets the copula results show strong evidence of time varying and high average tail dependence between oil returns and the fx markets which are net transmitters to oil for the short and medium time horizons on the other hand we find average and relatively low dynamic dependence between oil and the net receiver currencies regardless of the time horizons moreover there is evidence of up and down risk asymmetric systemic risks from oil to currencies and vice versa for some countries in the short and medium run horizons finally the risk spillovers are asymmetric over time and investment horizons these results have several important implications for hedging strategies and diversification benefits for oil and fx traders and institutional investors

capabilities and habitat in industrial renewal the case of uk textiles the paper develops an ecological approach to explore conditions for industrial renewal in the uk textiles and apparel sector and the possibilities for policy the authors argue that the material legacy of deindustrialisation conditions the opportunities for survivor firms and creates specific sub sectoral industrial ecologies literature from economics business studies development and ecological studies is used to outline a framework that allows different possible relations between firm capability and local habitat two subsectors carpets and apparel are used to explore the notion of interaction between firm capability and ecology though the context of deindustrialisation is similar in some respects the specific conditions provide quite distinctive opportunities for renewal in carpets relatively larger firms have more successfully co evolved with retailers through various kinds of mutuality in apparel a workshop sector of mainly small and micro firms frequently struggles with predatory behaviour by much larger retailers the implication of this analysis is that industrial policy needs to be grounded in analysis of the capabilities habitat interplay focusing on areas where conditions are favourable or can be improved through supporting firm capabilities and modifying supply chain behaviours the concepts and analysis are relevant for considering other industries and contexts where industrial renewal depends on producer firms and the ecology in which they operate

characterising deindustrialisation an analysis of changes in manufacturing employment and output internationally deindustrialisation is typically conceptualised as a decline in manufacturing as a share of total employment from a kaldorian perspective deindustrialisation could have negative implications for long run growth given the special growth pulling properties of manufacturing however defining deindustrialisation purely in terms of employment share is conceptually limiting given that some of the kaldorian processes operate primarily through output rather than employment as well as blunting empirical analysis by not focussing enough on changes in manufacturing share of gross domestic product gdp this study develops a new method using decomposition techniques to analyse changes in manufacturing employment levels and shares in 48 countries over periods of deindustrialisation the analysis separates out changes in the levels and shares of employment manufacturing into components associated with changes in the share of manufacturing in gdp the growth of manufacturing value added the labour intensity of manufacturing production and economic growth the results indicate that in most cases the decline in manufacturing employment is associated primarily with falling labour intensity of manufacturing rather than an overall decline in the size or share of the manufacturing sector we suggest that deindustrialisation should appropriately be defined in terms of a sustained decline in both the share of manufacturing in total employment and the share of manufacturing in gdp copyright the author 2008 published by oxford university press on behalf of the cambridge political economy society all rights reserved oxford university press

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

volatility forecasting with range based egarch models we provide a simple yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range using standard and poor s 500 index data for 1983 2004 we demonstrate the importance of a long memory specification based on either a two factor structure or fractional integration that allows for some asymmetry between market returns and volatility innovations out of sample forecasts reinforce the value of both this specification and the use of range data in the estimation we find substantial forecastability of volatility as far as 1 year from the end of the estimation period contradicting the return based conclusions of west and cho and of christoffersen and diebold that predicting volatility is possible only for short horizons

testing persistence of wti and brent long run relationship after the shale oil supply shock abstract in the paper we study the long run relationship in the wti brent oil time series taking into account the occurrence of two relevant events the rise of shale oil production in early 2011 and the widening and closing of the wti brent price spread from 2011 to 2014 monthly data of wti and brent crude oil prices as well as us shale oil quantities from january 2000 to december 2017 is used for the analyses the empirical results of the cointegration tests with structural breaks show that two structural break occurs in february 2011 and in october 2014 we then estimate a vector error correction model vecm considering the structural break suggested by the cointegration test results the timing of the rise in shale oil production and the dynamics of the wti brent price spread our analysis reveals that wti and brent crude oil prices have had a long run relationship up to 2011 no cointegration existed during the period of widening of the spread again a new long run relationship arises after the closing of the gap which includes the shale oil production in the last period the cross price elasticity of brent on wti slightly reduces compared to the pre 2011 era whilst the shale oil production increases its importance in explaining the long run relationship between wti and brent fivefold using the generalized impulse response functions girfs we finally study the impact of exogenous shocks on the variables showing that in the first period with limited shale oil production oil prices reacted to shale oil and not vice versa after october 2014 the opposite becomes true and shale oil production follows changes in both wti and brent prices

vertical price transmission in the egyptian tomato sector after the arab spring this study assesses price transmission along the egyptian tomato food marketing chain in the period that followed the arab spring which accentuated economic precariousness in egypt static and tim

are auction revenues affected by rising art buyers premia the case of early american art the steady rise in the premiums charged to art buyers at auction above hammer price has been underway since 1992 this article using a stable and bounded sample of repeat purchase of american works created before 1950 reveals that this tact has reduced hammer prices for that art however renewed and hyper competitive efforts to bring more and higher quality art to market by the two main houses sotheby s and christie s have resulted in general profitability nevertheless we calculate that a rise in buyers premia at sotheby s a publically traded company has reduced revenues and profits below their potential in the absence of such increases

currency downside risk liquidity and financial stability abstract we estimate volatility and quantile depreciation based spillovers across 20 global currencies against the us dollar in so doing we reveal significant asymmetries in the propagation of risk across global currency markets the quantile based statistic reacts more significantly to events that have a sizable impact on fx markets e g brexit vote and the fx crash following the subprime crisis which are missed by the volatility based statistic as such our tail spillover estimates constitute a new financial stability index for the fx market this index has the advantages of being easy to build of not requiring intraday data and of being more informative about currency crises and pressures than traditional spillover statistics based on volatilities finally we also document differences in the relation between liquidity and volatility quantile spillovers

investigating dynamic conditional correlation between crude oil and fuels in non linear framework the financial and economic role of structural breaks abstract to understand the crude oil volatility has been a challenge the non linear behavior the skewed and leptokurtic returns the presence of structural breaks and the constant political instability in suppliers countries evidence the necessity of complex models to capture the market volatility at the same time crude oil is the raw material for several fuels such as jet fuel gasoline diesel and others having a strong influence over their prices thus this study aims to verify the presence of structural breaks in the volatility series and in the correlations between wti return and the returns of gasoline kerosene jet fuel diesel heating oil propane and natural gas to reach this objective we identified which model presents the best fit to estimate the conditional mean between wti and each fuel and we used a copula dcc garch model to estimate the conditional volatility avoiding the frequently unrealistic presumptions of normality our main results indicate the necessity of a different model for each analyzed pair and the presence of at least one structural break in the conditional volatility and in the correlation between wti and each fuel usually preceded by a structural break in wti return series

covariance breakdowns and connectedness of crude oil futures markets with non synchronous data this article identifies the breakdowns in the covariance of three benchmark crude oil futures markets wti brent and dubai and investigates the changes of market connectedness across the breakdow

daily cross border equity flows pushed or pulled we investigate the conditions under which an intertemporal equilibrium model based on investors portfolio decisions can explain the dynamics of high frequency equity flows our model shows that w

systemic risk spillovers between crude oil and stock index returns of g7 economies conditional value at risk and marginal expected shortfall approaches abstract in this study we examine systemic risk and dependence between oil and stock market indices of g7 economies between january 2003 and november 2017 coincidentally this timeframe covers different distress periods in financial and energy markets we use several time constant time varying and time varying markov copula models to examine the dependence further we use the delta conditional value at risk covar of adrian and brunnermeier 2016 and marginal expected shortfall mes of acharya et al 2012 to captures the risk spillover effects and give evidence of systemic risk from the copula analysis we find dissimilar dependence structure between returns series of oil and the g7 stock markets for france germany and japan the dependence is markov switching time varying while it is time varying for the united states and canada constant for the united kingdom and around zero for italy our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the g7 stock market returns during volatile times than during tranquil times in particular the canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets further the country risk rankings identified using mes and covar may not be identical in addition the analysis results suggest that the crude oil market can be a good diversifier for investors in japan and france and that the investors in the rest of g7 countries must act more carefully

dynamic return volatility dependence and risk measure of covar in the oil market a time varying mixed copula model abstract this study investigates the risk level in the oil market measured by value at risk var and conditional var covar as well as the dynamic and asymmetric dependence between wti returns and crude oil volatility index ovx by constructing six time varying mixed copula models results show that mixed copula between t copula and the 270 degree rotated clayton copula is the optimal fitting copula to measure dynamic dependence the estimated time varying kendall coefficients indicate that wti returns and ovx present negative dependence most of the time there exists a structural change point of dependence between wti returns and ovx changes on april 17 2009 while the dependence characteristics within the subsamples are similar to that in the whole sample indicating the rationality of our time varying mixed copula models finally the tests show significant risk spillover from ovx to wti returns and also asymmetric effects for covars in response to different upside and downside extreme ovx movements

a copula garch approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate product price arbitrage and crude oil price abstract global liquefied petroleum gas lpg trade shows an increasing trend but is under researched this paper focuses on the lpg market and aims to model the dependence dynamics among lpg freight rates crude oil price and propane location arbitrage conditional copula garch model is applied to estimate dependencies different types of copulas with both time invariant and time varying dependence structures are fitted and their suitability has been compared the findings suggest that firstly baltic lpg blpg freight rate and the arbitrage between propane far east and middle east prices have conditional time varying dependence and the dependence is higher in market downturns furthermore blpg and the arbitrage between far east and us propane prices have symmetric dependence and such a relationship has strengthened since 2013 secondly middle east propane price is found to have the strongest correlation with crude oil prices compared to far east and us propane prices indicating higher sensitivity to crude oil price changes last but not least the relationship between crude oil and blpg is relatively weak and mostly positive

the stock market and exchange rate dynamics abstract this paper articulates a model of the open economy in which as in tobin 1978 the price of shares in the stock market subtitutes for the real interest rate in the determination of aggregate demand the stock market reduces the impact of monetary policy on the real exchange rate indeed if the link between stock prices and aggregate demand is important enough the impact of monetary policy on the real exchange rate can be reversed in contrast with standard dynamic mundell flemming models anticipated fiscal policy can be expansionary rather than contradictionary as in for example burgstaller 1983 blanchard 1984 and branson et al 1985

asset prices and exchange rates in this paper we study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model trade in goods gives rise to an additional channel of international propagation through the terms of trade absent in traditional single good asset pricing models the inclusion of demand shocks helps overturn many unrealistic implications of existing international flnance models in which productivity shocks are the sole source of uncertainty our model generates a rich set of implications on how stock bond and foreign exchange markets co move we solve the model in closed form which yields a system of equations that can be readily estimated empirically our estimation validates the main predictions of the theory

the copula garch model of conditional dependencies an international stock market application abstract modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics when returns are non normal it is often simply impossible to specify the multivariate distribution relating two or more return series in this context we propose a new methodology based on copula functions which consists in estimating first the univariate distributions and then the joining distribution in such a context the dependency parameter can easily be rendered conditional and time varying we apply this methodology to the daily returns of four major stock markets our results suggest that conditional dependency depends on past realizations for european market pairs only for these markets dependency is found to be more widely affected when returns move in the same direction than when they move in opposite directions modeling the dynamics of the dependency parameter also suggests that dependency is higher and more persistent between european stock markets

disentangling the role of the exchange rate in oil related scenarios for the european stock market abstract the literature has been analysing so far the response of the stock market to a distress scenario for oil prices considering prices in domestic currency this assumption implies merging commodity risk and exchange rate risk this article proposes to generate oil related scenario depending on the source of risk the same distress oil related scenario in euros could generate an opposite impact on the european stock market depending on the source of risk results show higher losses for eurostoxx when oil prices in euros experience a downward movement due to a decrease of oil price in us dollars and when oil prices in euros experience an upward movement due to a depreciation of the euro against the us dollar this framework can improve our understanding of how the exchange rate interacts in global markets also it contributes to the design of tailor made international scenarios for stress testing

dependence structure between the equity market and the foreign exchange market a copula approach abstract this paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas in particular several copulas with different dependence structure are compared and used to directly model the underlying dependence structure we find that there exists significant symmetric upper and lower tail dependence between the two financial markets and the dependence remains significant but weaker after the launch of the euro our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk

structural breaks dynamic correlations and hedge and safe havens for stock and foreign exchange markets in greater china this study investigates the dynamic relationship and hedging strategy between stock and foreign exchange markets in greater china for the period 22 july 2005 to 30 november 2015 using the dcc garch model with and without structural breaks the results provide strong evidence of negative time varying correlations between these two markets in greater china consistent with the stock oriented models of exchange rates moreover adding structural breaks reduces the degree of volatility persistence for all considered markets and can provide more accurate hedge and safe haven properties of the us dollar against greater china stock markets the findings have several important implications for portfolio risk managers international investors and policymakers

capabilities economic development sustainability the capability concept is commonly used in analyses of firms however as this paper shows it may also be used at the level of nations factor analysis is used on a broad set of relevant indicators to derive composite measures of national technological and social capabilities the data covers 114 countries worldwide on different levels of development for the period 1995 2013 the paper then analyzes the relationships between these capability measures and economic development defined in various ways and controlling for other relevant factors the results suggest that improving national technological and social capability is a must for achieving sustainable economic development and improving living conditions

big fish in small ponds the trading behavior and price impact of foreign investors in asian emerging equity markets this paper analyzes a new dataset for the aggregate daily trading of all foreign investors in six asian emerging equity markets and provides two new findings first foreigners flows into several markets show positive feedback trading with respect to global as well as domestic equity returns the nature of this trading suggests it is due to behavioral factors or foreigners extracting information from recent returns rather than portfolio rebalancing effects second the price impacts associated with foreigners trading are much larger than earlier estimates the results suggest that foreign investors and external conditions have a larger impact on emerging markets than implied by previous work

auctions and the price of art the value of most important works of art is established by public auction either directly by an actual sale or indirectly by reference to other sales how the auction system works is thus a critical determinant of how the public s preferences are translated into the evaluation of artistic work the auction system is central in the determination of the incentives for artistic work and the efficiency of the auction system is a key determinant of the cost of creating and distributing works of art this paper contains a review of the burgeoning new research of the last decade that has been designed to shed light on how the art auction system actually works what it indicates about price formation and how well it performs we begin our discussion in section 2 with a short description of the mechanics of the auction system and then organize the remainder of our discussion around two major topics the first topic concerns how auction prices can be used to determine and compare overall price movements within the art market and other markets and the second topic concerns how the auction mechanism influences prices we

are art auction estimates biased this article considers whether presale auction estimates are unbiased predictors of price when no sales are considered utilizing a newly constructed sample of over 500 works by eight early twentieth century american artists unbiased presale auction estimates in predicting price while expected are generally not supported in previous work but these studies excepting one do not include no sales in the calculations in order to study the question we employ a standard approach that uses an inverse mills ratio arising from a sample selection probit to correct for selection bias we find that controlling for selection bias presale auction estimates appear to be biased downward and we offer possible reasons for this result

green bond and financial markets co movement diversification and price spillover effects abstract we examine co movement between the green bond and financial markets finding that the green bond market couples with corporate and treasury bond markets and weakly co moves with stock and energy commodity markets we also find that green bonds have negligible diversification benefits for investors in corporate and treasury markets whereas diversification benefits are sizeable for investors in stock and energy markets we further confirm that green bonds are affected by substantial price spillovers from corporate and treasury fixed income markets and that large price swings in stock and energy markets have a negligible impact on green bond prices

evaluating density forecasts with applications to financial risk management density forecasting is increasingly more important and commonplace for example in financial risk management yet little attention has been given to the evaluation of density forecasts the authors develop a simple and operational framework for density forecast evaluation they illustrate the framework with a detailed application to density forecasting of asset returns in environments with time varying volatility finally the authors discuss several extensions copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

vested interest and biased price estimates evidence from an auction market this study employs a new data set from art auctions to examine the relationship between auctioneer presale price estimates and the long term performance of artworks we find that the price estimates for expensive paintings have a consistent upward bias over a long period of 30 years high estimates at the time of purchase are associated with adverse subsequent abnormal returns moreover the estimation error for individual paintings tends to persist over time these results are consistent with the view that auction house price estimates are affected by agency problems and that

price differences among crude oils the private costs of supply disruptions i quantify the causes for price differences among crude oils that are set by the law of one price with a special emphasis on country risk for crude oils that are part of the same market i estimate cointegrating relations which represent their long run relation and error correction models which represent the rate at which the market eliminates disequilibrium in their prices results indicate that positive values of country risk impose a 0 51 price penalty on a barrel of crude oil from an unreliable supplier that increases with the variance in risk and the price of crude oil these price penalties are the first empirical estimates for how the market values the private costs of oil supply disruptions beyond country risk the price effects of sulfur content density distance between supply ports and opec membership confirm the importance of oil supply choke points opec s ability to influence prices and differences in refinery technology because private costs of a supply disruption attach only to nations with a non zero country risk previous estimates for the social costs of a supply disruption may be too large

systemic risk measurement multivariate garch estimation of covar abstract we modify adrian and brunnermeier s 2011 covar the var of the financial system conditional on an institution being in financial distress we change the definition of financial distress from an institution being exactly at its var to being at most at its var this change allows us to consider more severe distress events to backtest covar and to improve its consistency monotonicity with respect to the dependence parameter we define the systemic risk contribution of an institution as the change from its covar in its benchmark state defined as a one standard deviation event to its covar under financial distress we estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period june 2000 to february 2008 and the 12 months prior to the beginning of the crisis we also investigate the link between institutions contributions to systemic risk and their characteristics

a transnational fast fashion industrial district an analysis of the chinese businesses in prato after world war ii prato in italy became known for the extraordinary development of its textile industry the development was extraordinary due to its size and because it was based on small firms the study of which contributed to the redis covery of the marshallian industrial district in recent decades prato has become increasingly known for the rise of the largest agglomeration in italy of chinese immigrants businesses specialised in fast fashion clothing despite the attention devoted to this phenomenon how and why the chinese in prato were so successful remains somewhat of a mystery this paper explores the case of the chinese in prato considering first their influx into the district as subcontractors and then their transformation into final producers of pronto moda the paper focuses on the causes of these immigrants exceptional development and on the possible consequences of this evolution for the future of prato in the new global economy

short term forecasting of electricity prices for miso hubs evidence from arima egarch models this study estimates three time series models arima arima egarch and arima egarch m for hourly real time electricity prices for each of the five hubs of the midwest independent system operator miso and examines the in and out of sample forecasting performance of the respective models the results from the arima models reveal the presence of autoregressive conditional heteroskedasticity recognizing the possibility of asymmetric time varying volatility the egarch specification for the variance equation demonstrates the presence of an inverse leverage effect in electricity prices for each hub with respect to forecasts no one model clearly dominates the others in terms of in sample forecasting performance based on four forecast evaluation statistics however the arima egarch m model outperforms the other models michigan hub is the exception in terms of the out of sample forecasting performance

dynamic capabilities what are they this paper focuses on dynamic capabilities and more generally the resource based view of the firm we argue that dynamic capabilities are a set of specific and identifiable processes such as product development strategic decision making and alliancing they are neither vague nor tautological although dynamic capabilities are idiosyncratic in their details and path dependent in their emergence they have significant commonalities across firms popularly termed best practice this suggests that they are more homogeneous fungible equifinal and substitutable than is usually assumed in moderately dynamic markets dynamic capabilities resemble the traditional conception of routines they are detailed analytic stable processes with predictable outcomes in contrast in high velocity markets they are simple highly experiential and fragile processes with unpredictable outcomes finally well known learning mechanisms guide the evolution of dynamic capabilities in moderately dynamic markets the evolutionary emphasis is on variation in high velocity markets it is on selection at the level of rbv we conclude that traditional rbv misidentifies the locus of long term competitive advantage in dynamic markets overemphasizes the strategic logic of leverage and reaches a boundary condition in high velocity markets copyright 2000 john wiley sons ltd

risk dependence of covar and structural change between oil prices and exchange rates a time varying copula model abstract this paper analyses the dynamic dependence between wti crude oil and the exchange rates of the united states and china taking structural changes of dependence into account by using six time varying copula models upside and downside conditional values at risk covars are introduced specifically to measure the upward and downward risk dependences between oil prices and exchange rates the findings indicate a structural break point of dependence exists between daily or weekly crude oil and the us dollar index the dependence between crude oil and the rmb exchange rate is faintly positive with lower tail dependence while the dependence between crude oil and the us dollar index is significantly negative with lower upper and upper lower tail dependence finally the covars results show that there is significant risk spillover from crude oil to chinese and the us exchange rate markets furthermore the spillover effect is significantly asymmetry in chinese exchange rate market in response to rising and falling oil returns while the asymmetry of spillover effect for the us dollar index is not significant

how do correlations of crude oil prices co move a grey correlation based wavelet perspective abstract previous research on the oil market has focused mainly on the static relationship between bivariate oil prices ignoring the dynamic correlation of bivariate or multivariate oil prices this study provides a novel perspective on multivariate dynamic correlations for studying the oil market by using an optimal wavelet analysis on the basis of grey correlation we used china daqing and its three reference benchmark oil prices brent dubai and minas as empirical data our main findings are as follows first the time frequency phenomena of the analysis results from one to one and many to one correlation time series support the hypothesis of the regional and global characteristics of the oil market respectively second the u shaped wavelet variance plot indicates that the fluctuation intensity of the shortest and longest time frequency domains plays a leading role in the dynamic process of oil price correlation for the chinese government the oil price adjustment strategy in the short term should reduce the reference weights of brent and the long term strategy should reduce the reference weights of minas to avoid the risk of a single reference the investor s portfolio management should pay more attention to the leading oil price of the corresponding period to make clear market timing third the significant lead lag relationships of oil price correlations showed a time varying spread phenomenon of benchmark oil prices relative influence on daqing which provides a useful time reference when crafting an oil price adjustment strategy and intertemporal arbitrage

flight to quality and correlation between currency and stock returns abstract we document that capital flows in and out of emerging or developed markets are sensitive to global equity market conditions capital tends to move out of emerging into developed countries in global down markets leading to depreciation appreciation of emerging developed currencies this generates a positive negative correlation between currency and equity in emerging developed markets which is amplified by the magnitude of the capital movement we also verify that hedging currency risks may undo the natural hedge and increase the total return volatility under negative correlation

systemic risk in european sovereign debt markets a covar copula approach abstract we studied systemic risk in european sovereign debt markets before and after the onset of the greek debt crisis taking the conditional value at risk covar as a systemic risk measure characterized and computed using copulas we found that before the debt crisis sovereign debt markets were all coupled and systemic risk was similar for all countries however with the onset of the greek crisis debt markets decoupled and the systemic risk of the countries in crisis excepting spain for the european debt market as a whole decreased whereas that of the non crisis countries increased to a small degree the systemic risk of the greek debt market for other countries in difficulties increased especially for portugal where systemic risk tripled after the onset of the crisis whereas the systemic impact on the non crisis countries decreased

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

the dependence structure between the canadian stock market and the usd cad exchange rate a copula approach this paper investigates the dependence structure between the real canadian stock returns and the real usd cad exchange rate returns using the symmetrized joe clayton sjc copula function we estimate the sjc copula with monthly data over the period 1995 1 to 2006 12 our results show significant asymmetric static and dynamic tail dependence between the real stock returns and the real exchange rate returns such that the two returns are more dependent in the left than in the right tail of their joint distribution we explain this asymmetric dependence in terms of an asymmetric interest rate policy by canadian monetary authorities in response to changes in the real exchange rate during sub periods of falling and rising commodity prices le texte analyse la structure de dependance entre les rendements reels sur les actions canadiennes en bourse et les taux de rendements reels sur le taux de change entre le canada et les etats unis en utilisant la fonction a copule symetrisee joe clayton sjc on calibre cette fonction a l aide de donnees mensuelles pour la periode allant de 1995 1 a 2006 12 les resultats montrent une dependance asymetrique statique et dynamique significative entre les rendements reels sur les actions et les taux de rendements reels sur le taux de change telle que les deux rendements reels sont davantage dependants l un de l autre a l extremite gauche qu a l extremite droite de leur distribution conjointe on explique cette dependance asymetrique en termes d une politique asymetrique du taux d interet par les autorites canadiennes en reponse aux changements dans le taux de change reel durant les sous periodes de prix croissants et decroissants des denrees

downside and upside risk spillovers between exchange rates and stock prices abstract we examined downside and upside risk spillovers from exchange rates to stock prices and vice versa for a set of emerging economies we characterized the dependence structure between currency and stock returns using copulas and computed downside and upside value at risk and conditional value at risk we documented a positive relationship between stock prices and currency values in emerging economies with respect to the us dollar and the euro with downside and upside spillover risk effects transmitted both ways finally we also documented asymmetries in upside and downside risk spillovers and asymmetric differences in the size of risk spillovers when the domestic currency values against the us dollar and the euro our results consistent with flight to quality phenomena have implications for downside and upside risk management of international investor portfolios in emerging markets

how do crude oil prices co move a copula approach abstract this paper examines the dependence structure between crude oil benchmark prices using copulas by considering several copula models with different conditional dependence structures and time varying dependence parameters we find evidence of significant symmetric upper and lower tail dependence between crude oil prices these findings suggest that crude oil prices are linked with the same intensity during bull and bear markets thus supporting the hypothesis that the oil market is one great pool in contrast with the hypothesis that states that the oil market is regionalized our findings on crude oil price co movements also have implications for risk management hedging strategies and asset pricing

commodity futures and market efficiency we propose a comprehensive treatment of the leverage effect i e the relationship between returns and volatility of a specific asset focusing on energy commodities futures namely brent and wti crude oils natural gas and heating oil after estimating the volatility process without assuming any specific form of its behavior we find the volatility to be long term dependent with the hurst exponent on a verge of stationarity and non stationarity to overcome such complication we utilize the detrended cross correlation and the detrending moving average cross correlation coefficients and we find the standard leverage effect for both crude oils and heating oil for natural gas we find the inverse leverage effect additionally we report that the strength of the leverage effects is scale dependent finally we also show that none of the effects between returns and volatility is detected as the long term cross correlated one these findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification

a revisit to the dependence structure between the stock and foreign exchange markets a dependence switching copula approach abstract this paper develops a dependence switching copula model to examine dependence and tail dependence for four different market statuses namely rising stocks appreciating currency falling stocks depreciating currency rising stocks depreciating currency and falling stocks appreciating currency the model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990 2010 period the dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime but symmetric in the positive correlation regime these results enrich the findings in the existing literature and suggest that analyzing cross market linkages within a time invariant copula framework may not be appropriate

volatility transmission between stock and foreign exchange markets a connectedness analysis abstractthis paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period july 1988 to may 2018 to this end we

why do markets move together an investigation of u s japan stock return comovements this article explores the fundamental factors that affect cross country stock return correlations using transactions data from 1988 to 1992 we construct overnight and intraday returns for a portfolio of japanese stocks using their nyse traded american depository receipts adrs and a matched sample portfolio of u s stocks we find that u s macroeconomic announcements shocks to the yen dollar foreign exchange rate and treasury bill returns and industry effects have no measurable influence on u s and japanese return correlations however large shocks to broadbased market indices nikkei stock average and standard and poor s 500 stock index positively impact both the magnitude and persistence of the return correlations stock return cross country covariances play a key role in international finance changes in these covariances affect the volatility of portfolios and asset prices as these covariances increase one expects that a fewer domestic risks are internationally diversifiable so portfolio volatility increases b the risk premium on the world market portfolio increases 1 c the cost of capital increases for individual firms and d the domestic version of the capm becomes increasingly inadequate 2 despite the important economic consequences of changes in cross country covariances the determinants of the levels and dynamics of these covariances have been little studied from an academic

the dynamics of crude oil price differentials abstract crude oil price differentials are modelled as a two regime threshold autoregressive tar process using the method proposed by caner and hansen caner m hansen b e threshold autoregression with a unit root econometrica 2001 69 1555 1596 while standard unit root tests suggest that the prices of crude oil of different varieties move closely together such that their price differential is stationary the tar results indicate strong evidence of threshold effects in the adjustment process to the long run equilibrium these findings suggest that crude oil prices are linked and thus at the very general level the oil market is one great pool adelman m a international oil agreements the energy journal 1984 5 1 9 however differences in the dynamics of adjustment suggest that within this one pool oil markets are not necessarily integrated in every time period and hence the dynamics of crude oil price differentials may not follow a stationary process at all times although the development of a liquid futures market around the crude oil benchmarks has helped make some distant markets more unified arbitrage is not costless or risk free and temporary breakdowns in the benchmarks can lead to decoupling of crude oil prices