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dc.contributor.authorKyritsis, Evangelos
dc.contributor.authorSerletis, Apostolos
dc.date.accessioned2017-05-31T09:51:38Z
dc.date.available2017-05-31T09:51:38Z
dc.date.issued2017-05-31
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/2443966
dc.description.abstractThis paper investigates mean and volatility spillovers between the crude oil market and three financial markets, namely the debt, stock, and foreign exchange markets, while providing international evidence from each of the seven major advanced economies (G7), and the small open oil-exporting economy of Norway. Using monthly data for the period from May 1987 to March 2016, and a four-variable VARMA-GARCH model with a BEKK variance specification, we find significant spillovers and interactions among the markets, but also absence of a hierarchy of influence from one specific market to the others. We further incorporate a structural break to examine the possible effects of the prolonged episode of zero lower bound in the aftermath of the global financial crisis, and provide evidence of strengthened linkages from all the eight international economies.nb_NO
dc.language.isoengnb_NO
dc.publisherFORnb_NO
dc.relation.ispartofseriesDiscussion paper;7/17
dc.subjectCrude oilnb_NO
dc.subjectFinancial marketsnb_NO
dc.subjectMean and volatility spilloversnb_NO
dc.subjectStructural breaksnb_NO
dc.subjectVARMA-BEKK modelnb_NO
dc.titleThe Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norwaynb_NO
dc.typeWorking papernb_NO
dc.source.pagenumber50nb_NO


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