ABSTRACT

Globalisation and financial liberalisation have made financial markets more correlated and connected. In this context, it has become extremely important to understand the connectedness and correlation among different financial markets and commodities. This paper attempts to extend applicable empirical studies by examining the connectedness between volatilities of commodity convenience yields and zero-coupon inflation swap rates. We conduct our study by using both the spillover index methodology provided by Diebold and Yilmaz (2009, 2012) as well as Barunik and Krehlik’s (2018) methodology to decompose the index to its frequencies for short-, medium and long-term dynamics. Although, empirical results based on Diebold and Yilmaz’s (2012) methodology show that high total connectedness exists between the variables for the whole time period, our results based on Barunik and Krehlik’s (2018) approach shows that this connectedness exists only in the long-term. The results also indicate that the connectedness dynamics change when the effect of cross-correlations is considered.

摘要

全球化和金融自由化使金融市场更加相互关联和联系。在这种情况下，了解不同金融市场和商品之间的联系和相互联系变得极为重要。本文试图通过检验商品便利收益率的波动性与零息通货膨胀互换率之间的联系来扩展适用的经验研究。我们通过使用Diebold和Yilmaz（2009，2012）提供的溢出指数方法以及Barunik和Krehlik（2018）的方法将指数分解为短期，中期和长期动态的频率来进行研究。尽管根据Diebold和Yilmaz（2012）的方法得出的经验结果表明，在整个时间段内，变量之间存在很高的总连通性，我们基于Barunik和Krehlik（2018）方法得出的结果表明，这种联系仅长期存在。结果还表明，当考虑互相关的影响时，连接动力学会发生变化。