Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3

Yongjian Lyu, Xinyu Zhang, Jin Cao, Jiatao Liu, Mo Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

The relationships between the oil market and other financial markets remain poorly understood. In this paper, we first construct a set of spillover indices that measure the return spillovers from the oil market to other financial markets in the short, medium, and long terms, and then we examine the drivers of spillover intensity by focusing on the effect of quantitative easing in the U.S. The main empirical results are as follows. First, the return spillovers from the oil market to other markets are driven by various frequencies (short-term to long-term) and intensi- fied during the global financial crisis of 2007–2009. Second, quantitative easing has different effects on the spillover intensity at different frequencies, with the effect on short-term spillovers being less significant. Third, our research provides the first empirical evidence for a double-edged sword effect of quantitative easing on the systemic risk from the frequency perspective.
Original languageEnglish
Article number102989
JournalJournal of International Money and Finance
Volume140
DOIs
Publication statusPublished - Feb 2024

Keywords

  • Frequency domain
  • Oil market financialization
  • Quantitative easing
  • Return spillover

Fingerprint

Dive into the research topics of 'Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3'. Together they form a unique fingerprint.

Cite this