A view to the long-run dynamic relationship between crude oil and the major asset classes

Turhan M. I., Sensoy A., Ozturk K., Hacihasanoglu E.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, cilt.33, ss.286-299, 2014 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 33
  • Basım Tarihi: 2014
  • Doi Numarası: 10.1016/j.iref.2014.06.002
  • Dergi Adı: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.286-299
  • Abdullah Gül Üniversitesi Adresli: Hayır

Özet

Using DCC-MIDAS model, we estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies. We reveal a strong positive (negative) secular trend toward higher correlation magnitudes across crude oil and gold (dollar index) over our sample period. On the other hand, the increase toward higher positive correlations between crude oil-stock and -bond market occur in a near instantaneous fashion after the 2008 global financial crisis. Following Fed's tapering signals in 2013, we observe a considerable rise in the crude oil-dollar index correlation for both short- and long-run components. Such a situation might indicate the reversion of the relationship between these two assets to pre-crisis status. (C) 2014 Elsevier Inc. All rights reserved.