Leadership shift in the global soybean market: Dynamic connectedness approach (TVP-VAR) [PDF]
HeliyonThe price transmission in international soybean market has been extensively examined. However, recent econometric advancements have enabled the application of dynamic connectedness methodology as outlined by Antonakakis and Gabauer (2017) [1], which is ...
Gustavo María Barboza Martignone +3 more
doaj +4 more sources
TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach.
Yakup Arı
doaj +4 more sources
Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach [PDF]
FoodsThe global food market’s escalating volatility has led to a complex network of uncertainty and risk transmission across different grain markets. This study utilizes the Time-Varying Parameter Vector Autoregression (TVP-VAR)-Connectedness approach to ...
Huidan Xue +3 more
doaj +2 more sources
The dynamic impact mechanism of China's financial conditions on real economy and international crude oil market [PDF]
Heliyon, 2023 As financial conditions become more complex and variable, capturing economic patterns becomes harder. The Financial Conditions Index (FCI) has gained traction as a tool to assess the performance of financial markets in nations or regions.
Jiahui Li, Hongming Li, Yuanying Jiang
doaj +2 more sources
Interstage market spillovers of the photovoltaic industry chain in China [PDF]
Scientific ReportsDriven by the goals of “carbon peak and carbon neutrality”, China’s photovoltaic industry has experienced rapid expansion, which provides a unique opportunity to study dynamic spillover effects within a structured industry framework. This study uses data
Jia Wang, Lanze Li, Tao Shen
doaj +2 more sources
Source tracing and contagion measurement of carbon emission trading price fluctuation in China from the perspective of major emergencies. [PDF]
PLoS ONEBased on monthly economic data spanning from January 2015 to December 2022, we have established an analytical framework to examine the "Russia-Ukraine conflict-financial market pressure and energy market-China carbon emission trading prices." To achieve ...
Binhong Wu +3 more
doaj +2 more sources
Energies, 2021 We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach.
Tiantian Liu, Shigeyuki Hamori
doaj +1 more source
Analysis of the impact of central bank digital currency on stock markets: Dynamics and implications [PDF]
Banks and Bank Systems, 2023 The purpose of the study is to explore the influence of central bank digital currency on stock markets. To realize the purpose, the TVP-VAR model was built, which determines the impact of volatility of the CBDC attention index (CBDCAI) on the volatility ...
Serhiy Frolov +4 more
doaj +1 more source
Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate
Mathematics, 2022 The Saudi economy ought to maintain a significant amount of foreign exchange reserves due to the pegged exchange rate regime. As a hydrocarbon economy, we measure the dynamic response of external assets and liabilities of banks to the international oil ...
Nahla Samargandi, Kazi Sohag
doaj +1 more source
Entropy, 2021 In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis.
Keagile Lesame +3 more
doaj +1 more source