The asymmetric impact of oil price uncertainty on emerging market financial stress : A quantile regression approach
Das, Debojyoti; Dutta, Anupam; Jana, Rabin K.; Ghosh, Indranil (2022-06-06)
Das, Debojyoti
Dutta, Anupam
Jana, Rabin K.
Ghosh, Indranil
Wiley
06.06.2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022081655500
https://urn.fi/URN:NBN:fi-fe2022081655500
Kuvaus
vertaisarvioitu
© 2022 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution-Non Commercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes.
© 2022 The Authors. International Journal of Finance & Economics published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution-Non Commercial License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited and is not used for commercial purposes.
Tiivistelmä
This study investigates the effects of the crude oil implied volatility index (OVX) upon emerging market financial stress (EMFS). We resort to a quantile regression framework as this approach is a better alternative to disentangle the relationship under different market conditions. Besides, we also examine how EMFS responds to the lags and asymmetries in the OVX. The empirical results show significantly positive impacts of OVX upon EMFS. Further, the effects of OVX become more assertive in the upper quantiles of EMFS, implying higher sensitivity to OVX when stress levels are high. In terms of the lagged effects, the relationship is transient as the OVX coefficients become weaker with increasing lag sizes. We further find that only positive impulses in OVX can significantly predict EMFS. Lastly, we report evidence that the Credit market stress is a crucial driver of EMFS.
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