() and Apostolos Serletis
Evangelos Kyritsis: Dept. of Business and Management Science, Norwegian School of Economics, Postal: NHH , Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
Apostolos Serletis: Dept. of Economics, University of Calgary, Postal: University of Calgary, Department of Economics, Calgary, Alberta, T2N 1N4, Canada
Abstract: This paper investigates mean and volatility spillovers between the crude oil market and three financial markets, namely the debt, stock, and foreign exchange markets, while providing international evidence from each of the seven major advanced economies (G7), and the small open oil-exporting economy of Norway. Using monthly data for the period from May 1987 to March 2016, and a four-variable VARMA-GARCH model with a BEKK variance specification, we find significant spillovers and interactions among the markets, but also absence of a hierarchy of influence from one specific market to the others. We further incorporate a structural break to examine the possible effects of the prolonged episode of zero lower bound in the aftermath of the global financial crisis, and provide evidence of strengthened linkages from all the eight international economies.
50 pages, May 31, 2017
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