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Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events

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  • Abakah, Emmanuel Joel Aikins
  • Abdullah, Mohammad
  • Dankwah, Boakye
  • Lee, Chi-Chuan

Abstract

This research investigates the asymmetric dependence of the Baltic Dry Index on conventional financial markets during major global economic events in the period 1995–2023 using the rolling window wavelet correlation (RWWC) and time-varying parameter vector autoregression (TVP-VAR). The results of the RWWC reveal a considerable relationship between these markets over short- to medium-term investment horizons, whereas the relationship dynamically switches between positive and negative in the long term. The TVP-VAR reveals that asymmetry occurs for upward and downward movement spillover results. The total connectedness index is higher for downward market condition spillover than for the upward market spillover.

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  • Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Dankwah, Boakye & Lee, Chi-Chuan, 2024. "Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000512
    DOI: 10.1016/j.najef.2024.102126
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    More about this item

    Keywords

    Baltic Dry Index; Commodities; Currency; Bond; Stocks; Asymmetric spillovers;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P45 - Political Economy and Comparative Economic Systems - - Other Economic Systems - - - International Linkages

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