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  1. The sectoral nature of the COVID-19 shock
    a novel approach to quantifying its economic impact
    Author: Archanskaia, Liza; Canton, Erik; Hobza, Alexandr; Nikolov, Plamen; Simons, Wouter
    Published: 2022
    Publisher:  Publications Office of the European Union, Luxembourg

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 289
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789276446293
    Other identifier:
    Series: Array ; 162 (May 2022)
    Subjects: COVID-19; pandemics; nowcasting; output shocks; sectoral impact; NFC; losses; distress
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  2. Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
    Author: Kočenda, Evžen; Moravcová, Michala
    Published: January 2024
    Publisher:  CESifo, Munich, Germany

    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... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    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 horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/295978
    Series: CESifo working papers ; 10889 (2024)
    Subjects: connectedness; volatility spillovers; frequency decomposition; portfolio weights and hedge ratios; energy commodities; distress
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen