英文标题：
《Total, asymmetric and frequency connectedness between oil and forex
markets》
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作者：
Jozef Barun\\\'ik and Ev\\v{z}en Ko\\v{c}enda
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最新提交年份：
2019
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英文摘要：
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 -- 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress.
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中文摘要：
我们使用2007年至2017年期间的高频日内数据分析了石油和外汇市场之间的总体、不对称和频率连通性。通过将方差分解及其谱表示与实现的半方差相结合来解释不对称性和频率连通性，我们得到了有趣的结果。我们表明，货币政策制度的分歧会影响外汇波动溢出，但向外汇投资组合中添加石油会降低混合投资组合的总体连通性。连通性中的不对称性相对较校虽然负面冲击主导着外汇波动的关联性，但当石油和外汇市场联合评估时，正面冲击占主导地位。频率连通性在很大程度上是由不确定性冲击驱动的，在较小程度上是由流动性冲击驱动的，流动性冲击对长期连通性的影响最大，并导致其在困境期间急剧增加。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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