The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets
Undoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market across markets. In this paper, we investigate the co...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2014-03-01
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| Series: | فصلنامه پژوهش‌های اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_983_0a93d26094fe63e69d8cca7f856a79a3.pdf |
| _version_ | 1827393183449874432 |
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| author | Nasser Khiabani Manouchehr Dehghani |
| author_facet | Nasser Khiabani Manouchehr Dehghani |
| author_sort | Nasser Khiabani |
| collection | DOAJ |
| description | Undoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market across markets.
In this paper, we investigate the co-movements and volatility transmission among the three important oil, gold and US dollar/euro exchange rate markets. Using weekly data from 1995 to 2012, we estimate a VAR-ABEKK-Mean model and find the evidence of return and volatility spillovers among the three markets. More specifically, we find strong evidence of significant transmission volatility from the oil market to the two other markets. We also show that the transmission of information is asymmetric among the three markets. In this regard, the bad news of an increase in oil prices appears to be more influential than news of a decline in its value for investors in gold and exchange rate markets. |
| first_indexed | 2024-03-08T17:45:31Z |
| format | Article |
| id | doaj.art-00dd5d3051a844f788c4bb7561358a2d |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:31Z |
| publishDate | 2014-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهش‌های اقتصادی ایران |
| spelling | doaj.art-00dd5d3051a844f788c4bb7561358a2d2024-01-02T10:29:10ZfasAllameh Tabataba'i University Pressفصلنامه پژوهش‌های اقتصادی ایران1726-07282476-64452014-03-011958207238983The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) MarketsNasser Khiabani0Manouchehr Dehghani1عضو هیأت علمی دانشکده اقنصاد علامه طباطباییدانشجوی دوره دکتری علوم اقتصادی گرایش اقتصاد سنجی و مالیه بین‌الملل، دانشگاه پیام نورUndoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market across markets. In this paper, we investigate the co-movements and volatility transmission among the three important oil, gold and US dollar/euro exchange rate markets. Using weekly data from 1995 to 2012, we estimate a VAR-ABEKK-Mean model and find the evidence of return and volatility spillovers among the three markets. More specifically, we find strong evidence of significant transmission volatility from the oil market to the two other markets. We also show that the transmission of information is asymmetric among the three markets. In this regard, the bad news of an increase in oil prices appears to be more influential than news of a decline in its value for investors in gold and exchange rate markets.https://ijer.atu.ac.ir/article_983_0a93d26094fe63e69d8cca7f856a79a3.pdfcrude oilgoldusa dollarasymmetrybekkmultivariate garch asymmetry meanspilloversvolatility spillovers |
| spellingShingle | Nasser Khiabani Manouchehr Dehghani The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets فصلنامه پژوهش‌های اقتصادی ایران crude oil gold usa dollar asymmetry bekk multivariate garch asymmetry mean spillovers volatility spillovers |
| title | The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets |
| title_full | The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets |
| title_fullStr | The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets |
| title_full_unstemmed | The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets |
| title_short | The Role of Oil Market in Explaining the Volatility of Gold and Foreign Exchange (Dollars/Euro) Markets |
| title_sort | role of oil market in explaining the volatility of gold and foreign exchange dollars euro markets |
| topic | crude oil gold usa dollar asymmetry bekk multivariate garch asymmetry mean spillovers volatility spillovers |
| url | https://ijer.atu.ac.ir/article_983_0a93d26094fe63e69d8cca7f856a79a3.pdf |
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