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Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate

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  • Wang, Xunxiao

Abstract

This paper explores the frequency dynamics of volatility spillovers among crude oil and international stock markets using implied volatility indices. I find evidence of volatility spillovers driven mainly by short-term spillovers. Moreover, low interest rate is the primary driver of volatility spillovers, whose roles mainly stem from its impact on short-term spillovers. The impact of interest rate on long-term spillovers is significantly positive, but relatively limited. The findings highlight that although the low interest rate offers a anticipation of the stability of financial system in the long run, it can be a source of global system risk, especially in the short run.

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  • Wang, Xunxiao, 2020. "Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate," Energy Economics, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401
    DOI: 10.1016/j.eneco.2020.104900
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