Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model

Chen R., Iqbal N., İRFAN M., Shahzad F., Fareed Z.

Resources Policy, vol.77, 2022 (SSCI, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 77
  • Nəşr tarixi: 2022
  • Doi nömrəsi: 10.1016/j.resourpol.2022.102718
  • jurnalın adı: Resources Policy
  • Jurnalın baxıldığı indekslər: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Aerospace Database, Aquatic Science & Fisheries Abstracts (ASFA), Business Source Elite, Business Source Premier, Communication Abstracts, EconLit, Index Islamicus, INSPEC, Metadex, PAIS International, Pollution Abstracts, Public Affairs Index, Civil Engineering Abstracts
  • Açar sözlər: COVID-19, Dow Jones Industrial averages, Financial sector, Financial stress, Gold, Oil, Time-varying parametervector autoregression(TVP-VAR), VIX
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

This study explores the dynamic and time-varying connectedness between the US stocks, financial sector, oil and gold markets, broad market volatilities, and financial stress. We examine if the traditional association between financial stress and its important factors and strategic commodities such as oil and gold has changed during the last decade, especially after the COVID-19. We use daily data set from July 2011 to June 2021, and employ the extended joint connectedness approach of Balcilar et al. (2021), which has several advantages over traditional connectedness models. Our findings show that traditional determinants of US financial stress are dynamic and change in response to the monetary injections in late 2019 more as compared with the COVID-19. In spite of the importance of COVID-19, our analysis points towards the enhanced significance of US monetary injections in driving joint connectedness between financial stress and its prominent factors and strategic commodities. Further, gold and oil show diversification potential in a portfolio of US stocks, financial sector and broad market volatilities. Therefore, important policy and investor implications are discussed for financial stability and portfolio choices.