Dynamic integration and transmission channels among interest rates and oil price shocks

This paper examines the short term dynamic integration among oil price shocks and interest rates for the U.S.A, Euro area and twelve Asian economies from August 1999 to January 2018 using a Time-Varying Parameter Vector Autoregression (TVP-VAR) with stochastic volatility. First, we found convincing evidence of time variation in the co-movement of interest rates and oil shocks and that the integration levels were highest towards the 2001 financial crisis whereas there is an evidence of decoupling as shown by notable drop in the the level of integration during the 2007-2009 economic and Euro-debt crises. In descending order, Singapore, crude oil, Hong Kong, Philippines and the United States are the net-transmitters of shocks while India, Japan and Vietnam are net-receivers. Results from a sub-sample containing highly industrializing economies in Asia, the United States, Euro area and crude oil market suggest that Singapore, Hong Kong and the United States remained top transmitters of shocks whereas the Euro-area, Taiwan, Korea and crude oil market become net receivers of shocks. Results from the analysis of transmission channels suggest that higher integration for the full sample tend to be driven by increasing levels of external exposure through trade and financial linkages, information asymmetry and political stability while financial crisis reduces the level of integration. Lastly, among the highly industrialized markets, time varying integration is also driven by the degree of external exposure as well as both political and financial stability. We also document important policy implications of our findings

Essays on commodity pricing models

Cette thèse est composée de quatre essais de recherche originaux en économétrie des séries temporelles et finance empirique liés aux prix du pétrole, et aux matières premières. Le premier chapitre examine les forces motrices fondamentales de l'intégration boursière avec un accent particulier sur les principaux pays exportateurs de gaz. Nous mesurons l'intégration du marché en utilisant le prix du gaz comme source commune de risque, en plus des sources de risque mondiales, régionales et nationales sur la base d'une version conditionnelle du modèle de tarification des actifs financiers internationaux (ICAPM). Dans le deuxième chapitre, nous mesurons l'effet asymétrique des prix du pétrole brut sur les rendements des actions dans un modèle à changements de régimes dans le contexte des principaux pays exportateurs de pétrole. Dans le troisième chapitre, le CAPM-GARCH à changement de régime conditionnel, avec des bêtas variables dans le temps expliquant à la fois les marchés haussiers et baissiers, surpasse la version inconditionnelle (statique) du CAPM. Nos résultats mettent en lumière la suprématie du facteur de marché associée à la variation dans le temps dans l’explication des primes de risque sur les marchés énergétiques et financiers. Le quatrième chapitre analyse la transmission des chocs pendant la crise financière. Notre modèle factoriel intègre trois facteurs : le facteur du marché américain, le facteur du marché financier mondial, et le facteur du marché intérieur. Nous détectons comme canaux de transmission de crise l'exposition du secteur bancaire au niveau national aux États-Unis et au reste du monde, la croissance du crédit, et la taille des banques.This Ph.D. thesis is composed of four original research essays in time series econometrics and empirical finance related to oil prices, and commodities. The first chapter examines the fundamental driving forces of stock market integration with a particular focus on the main gas exporting countries. We measure market integration using gas price as a common source of risk, in addition to global, regional and national risk sources based on a conditional version of the International Financial Asset Pricing Model (ICAPM). In the second chapter, we measure the asymmetric effect of crude oil prices on stock returns in a regime-shift model in the context of major oil-exporting countries. In the third chapter, the conditional regime-change CAPM-GARCH, with time-varying betas explaining both bull and bear markets, outperforms the unconditional (static) version of the CAPM. Our results highlight the supremacy of the market factor associated with the variation over time in the explanation of risk premiums in the energy and financial markets. The fourth chapter analyzes the transmission of shocks during the financial crisis. Our factor model incorporates three factors: the US market factor, the global financial market factor, and the domestic market factor. We detect as crisis transmission channels the exposure of the banking sector at the national level to the United States and the rest of the world, credit growth, and the size of banks

Financial Market Dynamics after COVID 19

International audienceDiscusses the concept of financial contagion in the wake of the Covid-19 pandemic. Analyses the impact of the health crisis on the systemic risks in capital markets. Evaluates the different financial regulations and interventions of governments in the context of the pandemi

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

International audienc

Dependence and risk spillovers among clean cryptocurrencies prices and media environmental attention

This paper examines the relationships among cryptocurrency environmental attention and clean cryptocurrencies prices using Time-Varying Parameter Vector Auto-Regression (TVP-VAR) and wavelets techniques. Results show strong connectedness among these variables, implying that the prices of clean cryptocurrencies are influenced by attention on cryptocurrency sustainability. Connectedness is stronger with positive shocks on environmental attention than negative shocks. Also, in the short-term, clean cryptocurrencies prices lead environmental attention, especially after 2021. However, there are notable periods when environmental attention led clean cryptocurrency prices before 2021. In the long-term, clean cryptocurrencies such as Hedera, Polygon, Cosmos, IOTA, TRON, Stellar, Tezos and Ripple lead environmental attention. In the presence of bitcoin, the degrees of connectedness increased across both shocks on cryptocurrency environmental attention. In all cases, the bitcoin market is the main destination of shocks from the system. We highlight some crucial implications of these results.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Economics of Technology and Innovatio

Economic activity, and financial and commodity markets’ shocks:An analysis of implied volatility indexes

This paper examines the dynamic short- and long-run asymmetric interactions and causality between real economic activity and stock and gold markets volatility shocks using both the cointegration Nonlinear Autoregressive Distributed Lag and Granger causality tests. In a further analysis, we used both the original and the partial sums decomposition of these variables to examine the level of market integration under different market conditions using the spillover index of Diebold and Yilmaz (2009; 2012; 2014). Our results indicate asymmetries in the short- and long-term relationships among these variables. In the long run, both positive and negative shocks from the energy market increase stock market volatility. However, only positive shocks on the gold market increase stock market volatility, while positive (negative) shocks on economic activity reduce (increase) stock market volatility. Also, an increase in both stock and energy markets volatility shocks are detrimental to real economic activity. We find a feedback effect between real economic activity shocks and these market volatility indexes, except for the gold market which has a unidirectional causality with the real economic activity shocks. Finally, the spillover analysis suggests a stronger integration among the partial sums, with the energy market as the dominant net-transmitter of both positive and negative shocks while the gold market is a net-receiver of shocks. Our results hold crucial implications for both investors and policymakers

Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach

International audienc

Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic

This paper examines the connectedness among 12 African equity markets and the global commodity, developed equity markets, paying particular attention to their evolution during the COVID-19 pandemic's peak period. We find that whilst African equity markets connect weakly to these markets, the levels of connectedness among these markets improved significantly during the pandemic. In addition, the energy market dominates the transmission of shocks in the system with commodity markets. Regarding the system with equity markets, the French and South African equity markets transmit the highest spillover in the full sample and during the pandemic's peak period, respectively

American hedge funds industry, market timing and COVID-19 crisis

International audienc