The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway

51 Pages Posted: 1 Jun 2017

See all articles by Evangelos Kyritsis

Evangelos Kyritsis

VATT Institute for Economic Research; Norwegian School of Economics (NHH) - ENE Research Centre

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: May 19, 2017

Abstract

This paper investigates mean and volatility spillovers between the crude oil market and three financial markets, namely the debt, stock, and foreign exchange markets, while providing international evidence from each of the seven major advanced economies (G7), and the small open oil-exporting economy of Norway. Using monthly data for the period from May 1987 to March 2016, and a four-variable VARMA-GARCH model with a BEKK variance specification, we find significant spillovers and interactions among the markets, but also absence of a hierarchy of influence from one specific market to the others. We further incorporate a structural break to examine the possible effects of the prolonged episode of zero lower bound in the aftermath of the global financial crisis, and provide evidence of strengthened linkages from all the eight international economies.

Keywords: Crude oil, Financial markets, Mean and volatility spillovers, Structural breaks, VARMA-BEKK model

JEL Classification: C32, E32, E52, G15

Suggested Citation

Kyritsis, Evangelos and Serletis, Apostolos, The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway (May 19, 2017). NHH Dept. of Business and Management Science Discussion Paper No. 2017/7. Available at SSRN: https://ssrn.com/abstract=2977842 or http://dx.doi.org/10.2139/ssrn.2977842

Evangelos Kyritsis (Contact Author)

VATT Institute for Economic Research ( email )

Arkadiankatu 7
P.O Box 1279
Helsinki, FIN-00531
Finland

Norwegian School of Economics (NHH) - ENE Research Centre ( email )

Helleveien 30
Bergen, NO-5045
Norway

Apostolos Serletis

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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