摘要
In recent years, researchers have increasingly studied the interaction between the crude oil market and economic policy uncertainty (EPU). To have a deeper knowledge, this article examines the spillover effects between them from a multiscale perspective with a wavelet-based BEKK-GARCH method. The results show that the spillover effects between the Brent crude oil market and EPU in the BRIC countries are time-varying across different wavelet scales in terms of direction and strength. The mean spillover relationship between oil prices and EPU is weak in the short term but gradually strengthened toward the long term. Moreover, there are strong volatility spillover effects between oil prices and EPU in Brazil and Russia in the short and medium term.
| 源语言 | 英语 |
|---|---|
| 页(从-至) | 2703-2717 |
| 页数 | 15 |
| 期刊 | Emerging Markets Finance and Trade |
| 卷 | 55 |
| 期 | 12 |
| DOI | |
| 出版状态 | 已出版 - 26 9月 2019 |
| 已对外发布 | 是 |
指纹
探究 'Dynamic Spillover Effect Between Oil Prices and Economic Policy Uncertainty in BRIC Countries: A Wavelet-Based Approach' 的科研主题。它们共同构成独一无二的指纹。引用此
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