Financial stress and oil market volatility: new evidence

被引：7

作者：

Pang, Dan ^{[1
]}

Ma, Feng ^{[1
]}

Wahab, M. I. M. ^{[2
]}

Zhu, Bo ^{[1
]}

机构：

[1] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China

[2] Ryerson Univ, Dept Mech & Ind Engn, Toronto, ON, Canada

来源：

APPLIED ECONOMICS LETTERS | 2023年 / 30卷 / 01期

关键词：

Realized volatility; oil market; financial stress; Markov-regime switching; PREDICTING VOLATILITY; PRICE;

D O I：

10.1080/13504851.2021.1969333

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the effect of financial stress (financial stress index; FSI) on oil market realized volatility using Markov-regime switching MIDAS models. The empirical results show that FSI can remarkably improve the forecast accuracy of the oil market. Moreover, FSI measured by the United States can obtain more useful information than that measured by the world. Our findings are robust and reliable via alternative evaluation methods from both statistical and economic aspects.

引用

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页码：1 / 6

页数：6

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