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1 results

  • THE ZERO LOWER BOUND AND CRUDE OIL AND FINANCIAL MARKETS SPILLOVERS

  • Apostolos Serletis, Libo Xu
  • Journal:
    Macroeconomic Dynamics / Volume 22 / Issue 3 / April 2018
    Published online by Cambridge University Press:
    23 May 2016, pp. 654-665

  • We investigate mean and volatility spillovers between the crude oil market and the debt, stock, and foreign exchange markets. In doing so, we estimate a four-variable VARMA–GARCH model with a BEKK representation and also examine the possible effects of monetary policy at the zero lower bound by including a dummy variable in both the conditional mean and variance equations. We find that the crude oil market and the financial markets are tightly interconnected and that monetary policy at the zero lower bound has strengthened their linkages.