کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064563 | 1476720 | 2014 | 9 صفحه PDF | دانلود رایگان |
- We examine multivariate BEKK-GARCH model of energy and equity indices.
- Energy volatility responds strongly to very low equity return shocks.
- Equity volatility responds modestly to energy shocks.
- Dynamic hedge ratios indicate energy is generally a poor hedge of US Equity Index.
- Low correlation between energy and equity except during the financial crisis period (2008-2010).
This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we find that low S&P 500 returns cause substantial increases in the volatility of the energy index; however, we find only a weak response from S&P 500 volatility to energy price shocks. Moreover, our dynamic hedge ratio analysis suggests that the energy index is generally a poor hedging instrument.
Journal: Energy Economics - Volume 43, May 2014, Pages 297-305