Original scientific paper
https://doi.org/10.1080/1331677X.2022.2054453
Structural change in the correlation, return and volatility spillovers: evidence from the oil, stock and exchange rate markets in the United States
Jung-Bin Su
Abstract
The present study employed a bivariate GJR-GARCH-MX-t model
with a Structural break (SB) to explore the status variation of five
financial features in three markets in the United States (US) that
arose as a result of the shocks from both the global financial crisis
(GFC) and subsequently quantitative easing (QE) policies. The
results showed that the GFC and QE first cause a SB at the oil
market and the stock market; the SB did not occur in the
exchange rate (FX) market. Moreover, before and after the SB, the
status of the three types of pairwise markets0 interaction indicators was significantly different, especially for the oil-stock paired
market data. However, the status of the two single market indicators was almost the same, especially for the FX market data. In
addition, during the two subperiods the stock market and the FX
market dominated in the case of the return and volatility spillovers, respectively.
Keywords
Structural break; bivariate GARCH model; pairwise markets0 interaction indicator; quantitative easing; global financial crisis
Hrčak ID:
303024
URI
Publication date:
31.3.2023.
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