Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS

Chen, Yufeng; Xu, Jing; Hu, May

doi:10.1016/j.resourpol.2022.102857

Cited by 33 publications

(11 citation statements)

References 38 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Foreign Exchange Reserves and Imported Fuel and Engine Oil The study showed that foreign exchange reserves positively impact the volume of fuels and engine oil imports. According to (Chen et al, 2022;Tarjo et al, 2021) when Indonesia's foreign exchange reserves increase, the volume of imports will also increase.…”

Section: Discussionmentioning

confidence: 99%

“…The study showed that foreign exchange reserves positively impact the volume of fuels and engine oil imports. According to (Chen et al, 2022;Tarjo et al, 2021) when Indonesia's foreign exchange reserves increase, the volume of imports will also increase. It is happened because Indonesia will be able to finance imports a lot when it has many foreign exchange reserves.…”

Section: Foreign Exchange Reserves and Imported Fuel And Engine Oilmentioning

confidence: 99%

See 1 more Smart Citation

Sustainable Energy Economic Policy: Population, Energy Consumption, and Macroeconomic Conditions

Priyadi

Atmadji²,

Artiani³

et al. 2022

IJEEP

View full text Add to dashboard Cite

This study examines and analyzes the energy economic policy of Indonesia with population, energy consumption and its macroeconomic condition in the short-run and long-run. In the long run, this study found that the non-renewable energy will be replaced with renewable energy. One of Indonesia's imported energy commodities is fuel and engine oil consumer goods. Based on the unit root test results, the Autoregressive Distributed Lag (ARDL) Model is the most appropriate model used in this study. The coefficient of determination indicated by the R-squared is 0.967579, which means the model can explain 96.8% of the international trade and its macroeconomic factors on the volume of imported fuel and engine oil in Indonesia. This study uses independent variables like total population, vehicle volume, gross domestic product (GDP), exchange rates, and foreign exchange reserves. These variables were fruitful in explaining the critical factors in the imported volume of fuel and engine oil, which are essential public goods used in daily activities and have to meet the people's consumption. In addition, the result reveals that the interesting thing is in the long run, the total population negatively affects fuel and engine oil imports in Indonesia.

show abstract

Section: Discussionmentioning

confidence: 99%

Section: Foreign Exchange Reserves and Imported Fuel And Engine Oilmentioning

confidence: 99%

Sustainable Energy Economic Policy: Population, Energy Consumption, and Macroeconomic Conditions

Priyadi

Atmadji²,

Artiani³

et al. 2022

IJEEP

View full text Add to dashboard Cite

show abstract

“…As mentioned earlier, the global trading of commodities is heavily reliant on exchange rates. Exchange rates have a significant impact on the prices of both Crude Oil and Gold, according to both earlier and recent studies (Jain and Biswal 2016;Bedoui et al 2018;Chen et al 2022). As a result, much research on the dynamic relationships between crude Oil, Gold, and exchange rates in a worldwide context have been conducted (Chang et al 2013;Chen et al 2022;Zhang and Qin 2022).…”

Section: Literature Reviewmentioning

confidence: 91%

“…The exchange rates play a vital role in the global trading of commodities. Earlier and recent studies show that exchange rates strongly influence both Crude Oil and Gold prices (Jain and Biswal 2016;Bedoui et al 2018;Chen et al 2022).…”

Section: Introductionmentioning

confidence: 99%

“…As a consequence, a considerable number of studies are done on the dynamic linkages between Crude Oil, Gold, and exchange rates in the global context (Chang et al 2013;Chen et al 2022;Zhang and Qin 2022). The study findings are mixed because of different exchange rates, economic policies, consumption patterns, non-linear behavior and others.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Maiti¹,

Kayal

2022

JRFM

View full text Add to dashboard Cite

The present study used transfer entropy and effective transfer entropy to examine the asymmetric information flow between exchange rates, oil, and gold. The dataset is composed of daily data covering the period of 1 January 2018 to 31 December 2021. Further, the dataset is bifurcated for analysis for before and during COVID. The bidirectional information flow is observed between EUR/USD and Oil for the whole study period unlike before COVID. However, during COVID, there was a unidirectional information flow from OilàEUR/USD. The study finds a significant unidirectional information flow from GoldàEUR/USD. The study estimates also indicate that before COVID, the direction of information flow was from OilàGold. However, the direction of information flow reversed during COVID from GoldàOil. Overall, the direction of information flow among these three variables is asymmetric. The highest transfer entropy was observed for GoldàEUR/USD among all the pairs under consideration.

show abstract

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

Gökgöz,

Ben Salem,

Bejaoui

et al. 2024

Int. J Fin Econ

View full text Add to dashboard Cite

This research aims to explore and understand the dynamic nature of volatility connectedness between BRICS stock markets and various asset price implied volatility indices through a TVP‐VAR broadened connectedness approach. Results display nontrivial dynamic connectedness in the BRICS stock markets and uncertainties in different markets during the period 31 March 2019–31 August 2023. They also report heterogeneous patterns in the connectedness between stock indices and volatility indices. The time‐varying spillover effect seems to be strong during the black‐swan events. The variations of volatility connectedness among each volatility index and stock market increasingly depend on unusual stress caused by the outbreak of unexpected events. These finding provide significant guidance for investors seeking to enhance their risk management practices. By leveraging the insights into volatility transmission mechanisms and the roles of different volatility indices, investors can make informed decisions to protect and grow their investments in an increasingly volatile global market.

show abstract

Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS

Cited by 33 publications

References 38 publications

Sustainable Energy Economic Policy: Population, Energy Consumption, and Macroeconomic Conditions

Sustainable Energy Economic Policy: Population, Energy Consumption, and Macroeconomic Conditions

Asymmetric Information Flow between Exchange Rate, Oil, and Gold: New Evidence from Transfer Entropy Approach

Connectedness Structure and Volatility Dynamics Between BRICS Markets and International Volatility Indices: An Investigation

Contact Info

Product

Resources

About