Kielmann Julia, Manner Hans, Min Aleksey
Department of Mathematics, Technical University of Munich, Munich, Germany.
Institute of Economics, University of Graz, Universitätsstr. 15/F4, 8010 Graz, Austria.
Empir Econ. 2022;62(4):1543-1574. doi: 10.1007/s00181-021-02073-9. Epub 2021 Jun 1.
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market returns helps to improve portfolio strategies and risk positions. Kilian (Am Econ Rev 99(3): 1053-1069, 2009) proposes to decompose the oil price into three types of oil price shocks by using a structural vector autoregression model. This paper investigates the dynamic, nonlinear dependence and risk spillover effects between BRICS stock returns and the different types of oil price shocks using an appropriate multivariate and dynamic copula model. Risk is measured using the conditional value at risk, conditioning on one or more simultaneous oil and stock market shocks. For this purpose, a D-vine-based quantile regression model and the GAS copula model are combined. Our results show, inter alia, that the early stages of the Covid-19 crisis lead to increasing risk levels in the BRICS stock markets except for the Chinese one, which has recovered quickly and therefore shows no changes in the risk level.
原油在世界经济发展中发挥着重要作用。了解油价变化与股票市场回报之间的关系有助于改进投资组合策略和风险状况。基利安（《美国经济评论》99(3): 1053 - 1069, 2009年）提议使用结构向量自回归模型将油价分解为三种类型的油价冲击。本文使用适当的多元动态Copula模型研究金砖国家股票回报与不同类型油价冲击之间的动态、非线性依赖关系和风险溢出效应。风险通过条件风险价值来衡量，以一个或多个同时发生的石油和股票市场冲击为条件。为此，将基于D - vine的分位数回归模型与GAS Copula模型相结合。我们的结果尤其表明，新冠疫情危机的早期阶段导致金砖国家股票市场（除中国股市迅速复苏且风险水平未发生变化外）的风险水平上升。
