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Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach

Togonidze, Sophio; Kočenda, Evžen - 2022

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....

Persistent link: https://www.econbiz.de/10013369064

Macroeconomic implications of oil-price shocks to emerging economies: a Markov regime-switching approach

Togonidze, Sophio; Kočenda, Evžen - 2022

Persistent link: https://www.econbiz.de/10013393482

Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities

Kočenda, Evžen; Moravcova, Michala - 2022

We analyze volatility connectedness, frequency decomposition, and portfolio hedging among U.S. energy commodities from … energy commodity market deepens its volatility connectedness. We find that the war in Ukraine is characterized by the highest … systemic risk, followed by the COVID-19 pandemic. The results of directional volatility spillovers reveal that heating oil is …

Persistent link: https://www.econbiz.de/10013492108

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

Kočenda, Evžen; Moravcová, Michala - 2024

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

Persistent link: https://www.econbiz.de/10014456134

Volatility connectedness on the central European forex markets

Albrecht, Peter; Kočenda, Evžen - In: International review of financial analysis 93 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543551