Time dynamics of connectedness between commodity convenience yields and zero-coupon inflation swap rates

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-10-01 DOI:10.1080/10293523.2020.1794309

O. Aybar, M. Bilgin, S. Öztürk

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引用次数: 5

Abstract

ABSTRACT Globalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies by examining the connectedness between volatilities of commodity convenience yields and zero-coupon inflation swap rates. We conduct our study by using both the spillover index methodology provided by Diebold and Yilmaz (2009, 2012) as well as Barunik and Krehlik’s (2018) methodology to decompose the index to its frequencies for short-, medium and long-term dynamics. Although, empirical results based on Diebold and Yilmaz’s (2012) methodology show that high total connectedness exists between the variables for the whole time period, our results based on Barunik and Krehlik’s (2018) approach shows that this connectedness exists only in the long-term. The results also indicate that the connectedness dynamics change when the effect of cross-correlations is considered.

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商品便利收益率与零息通胀掉期利率之间连通性的时间动态

摘要全球化和金融自由化使金融市场更加相互关联。在这种情况下，理解不同金融市场和商品之间的联系和相关性变得极其重要。本文试图通过检验商品便利收益率的波动性与零息票通胀掉期利率之间的联系来扩展适用的实证研究。我们使用Diebold和Yilmaz（20092012）提供的溢出指数方法以及Barunik和Krehlik（2018）的方法进行研究，将指数分解为短期、中期和长期动态的频率。尽管基于Diebold和Yilmaz（2012）方法的实证结果表明，在整个时间段内，变量之间存在高度的总连通性，但我们基于Barunik和Krehlik（2018）方法的结果表明，这种连通性只存在于长期。结果还表明，当考虑互相关效应时，连通性动力学发生了变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

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