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AuthorKhalifa, Ahmed A. A.
AuthorOtranto, Edoardo
AuthorHammoudeh, Shawkat
AuthorRamchander, Sanjay
Available date2021-09-01T10:03:26Z
Publication Date2016
Publication NameNorth American Journal of Economics and Finance
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.najef.2016.01.005
URIhttp://hdl.handle.net/10576/22439
AbstractThis paper uses the Multi-chain Markov Switching model (MCMS) conditioned on US uncertainty measures (VIX, VIX-oil and FSI) to examine the patterns of volatility transmission across the resource, major and safe haven currencies The results with and without the uncertainty variables generally identify three patterns of volatility transmission: interdependence, spillover and comovement. They reveal the dominance of interdependence over spillovers and comovements when the uncertainty variables are excluded, highlighting the significance of mutual reciprocity of individual market shocks over common shocks across the selected assets. Within portfolios of a two-variable framework (two variables representing two minimum variance portfolios (à la Markowitz), containing a weighted combination of the currencies and of the commodities, respectively), we find interdependence between the two portfolios with and without the VIX, a spillover from commodities to currencies in the case when the FSI is included and independence between the two portfolios in the case when the oil-VIX is accounted for. The implications of the results are important for the portfolio managers in selecting portfolios’ components during high oil volatility periods.
SponsorWe thank the managing editor Dr. Hamid Beladi Editor and three anonymous reviewers and for their invaluable comments that improved early versions of this article significantly. The first author would like to thank the OAR at Qatar University for their financial support through the internal research grant # QUUG-CBE-DFE-13/14-1 and the participants of the CBE, Department of Finance and Economics seminar series, Qatar University, Doha, Qatar, the 90th Annual Conference, June 28-July 2, 2015, Honolulu, USA, the 51st Meeting of the EWGFM and the 1st Conference of the Research Center for Energy Management (RCEM) at ESCP Europe & the International Center for Shipping, London, May 16-18, 2013.
Languageen
PublisherElsevier Inc.
SubjectCommodities
FX
Markov switching
US uncertainty measures
Volatility transmission
TitleVolatility transmission across currencies and commodities with US uncertainty measures
TypeArticle
Pagination63-83
Volume Number37
dc.accessType Abstract Only


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