Volatility spillover effect between oil prices and foreign exchange markets

Hameed, Zartashia; Shafi, Khuram; Nadeem, Anum

doi:10.1016/j.esr.2021.100712

Cited by 30 publications

(9 citation statements)

References 33 publications

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“…8b). 143 NiFe-LDH promoted the formation of layered structures, ZIF-12-derived NCNT provided nitrogen doping, and CoO x nanoparticles solved the inherent carbon corrosion issue during electrocatalytic OER and HER, resulting in an excellent electrocatalytic total water splitting activity.…”

Section: Water Splittingmentioning

confidence: 99%

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications

Wang,

Yuan,

Zhang

et al. 2024

Nanoscale

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Section: Water Splittingmentioning

confidence: 99%

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications

Wang,

Yuan,

Zhang

et al. 2024

Nanoscale

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“…These five driving mechanisms are selected based on an extensive literature, including Karali and Ramirez (2014), Wei et al (2017), Fang et al, 2018, Hu et al (2020, Canh et al, (2020) Alkathery and Chaudhuri (2021), Hameed et al (2021), and finally, Nguyen and Walther (2020). 12 We use the Word Uncertainty Index (explained below) to depict the energy policy channel through which shocks spread to export portfolios (Ahir et al, 2022).…”

Section: Econometric Approach For the Determinants Of Outward Spilloversmentioning

confidence: 99%

Net-Zero Policy vs Energy Security: The Impact on GCC Countries

Bigerna,

D’Errico,

Polinori

et al. 2023

The Energy Journal

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Gulf Cooperation Council countries have accumulated large oil portfolio revenues. However, the world economy is seeking to reduce carbon emissions, and in turn, its reliance on fossil fuel resources through investments in renewable energyresources. The aim of this research is to analyze oil portfolio risk from anexporters’perspective, highlighting how relevant determinants, such as the increasing penetration of renewables in the importer counterparties, and financial and policy uncertainty, increase the volatility of oil export portfolios.We construct oil portfolios for four Gulf Cooperation Council countries (Kuwait, Oman, Saudi Arabia, United Arab Emirates) from 2008 to 2018, and compute volatility spillovers à la Diebold and Yilmaz. Then, the effects of policy and economic variables on volatility spillover indices are estimated using different panel linear regression models. We find rising renewable market shares significantly affects oil export portfolio risks and reduces adverse impacts on importing countries of oil market fluctuations.

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“…By considering major oil-exporting and oilimporting nations, Malik and Umar (2019) indicate the connectedness relationship between oil price shocks and the exchange rate, which was significantly positive and high after the financial crisis. By considering major oil exporter and importer countries, Hameed et al (2021) remark that the exchange rate has a more volatile spillover effect on oil-exporting countries than on oilimporting countries. Finally, Adi et al (2022) demonstrate a bi-directional volatility spillover and shock impact between the exchange rate and crude oil.…”

Section: Macro-level Interactionmentioning

confidence: 99%

VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

Gençyürek

Eki̇nci̇

Ağan³

2022

eab

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The study aims to analyze volatility spillover between the oil market (WTI) and S&P Energy, Financial, and Industry sector indices in terms of conditional correlation and variance causality. DCC-GARCH and Hafner-Herwartz (2006) Variance Causality Analysis were used to analyze the daily data span from January 2012 to December 2019. As a conclusion, in this study has been revealed that there is a positive time-varying conditional correlation between the oil market and sector indices. Besides, hedge ratio and risk minimizing portfolio weights, which are vital for investors, have been calculated based on these data. The cheapest hedging transaction with the oil market occurs with the financial sector, the most expensive one takes place with the energy sector. Also, it has been determined that volatility transmission is from sector indices to the oil market. This situation means that, S&P sector indices play a key role (resource of information- emit information) in volatility spillover. The results provide important information to researches, investors and policy-makers. Çalışmanın amacı, petrol piyasası (WTI) ile S&P Enerji, Finansal ve Sanayi sektör endeksleri arasındaki ilişkiyi koşullu korelasyon ve varyans nedenselliği bakımından incelemektir. DCC-GARCH ve and Hafner-Herwartz (2006) Varyans Nedensellik modelleri Ocak 2012-Aralık 2019 dönemi günlük verilerini analiz etmek için kullanılmıştır. Çalışma sonucunda petrol piyasası ile sektör endeksleri arasında zamana bağlı değişim gösteren pozitif koşullu korelasyon ilişkisi olduğu belirlenmiştir. İlaveten, elde edilen sonuçlardan yararlanarak yatırımcılar açısından oldukça önemli olan korunma rasyosu ve riski minimize eden portföy ağırlıkları hesaplanmıştır. Petrol piyasası ile en ucuz korunma işlemi finans sektörüyle, en pahalı korunma işlemi ise; enerji sektörüyle olmuştur. Bunun yanında, volatilite iletiminin sektör endekslerinden petrol piyasasına doğru olduğu belirlenmiştir. Bu durum S&P sektör endekslerinin volatilite yayılımında önemli bir role sahip (bilginin kaynağı, bilgi yayan) olduğunu göstermektedir. Elde edilen sonuçlar araştırmacılar, yatırımcılar ve politika yapıcılar açısından önemli bilgiler sunmaktadır.

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Volatility spillover effect between oil prices and foreign exchange markets

Cited by 30 publications

References 33 publications

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications

Net-Zero Policy vs Energy Security: The Impact on GCC Countries

VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

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Volatility spillover effect between oil prices and foreign exchange markets

Cited by 30 publications

References 33 publications

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO2 reduction and N2 reduction applications

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO2 reduction and N2 reduction applications

Net-Zero Policy vs Energy Security: The Impact on GCC Countries

VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

Contact Info

Product

Resources

About

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications

Advances in zeolitic-imidazolate-framework-based catalysts for photo-/electrocatalytic water splitting, CO₂ reduction and N₂ reduction applications