Applied Economics,
Год журнала:
2024,
Номер
unknown, С. 1 - 16
Опубликована: Апрель 8, 2024
This
article
investigates
the
quantile
frequency
risk
connectedness
between
global
geopolitical
(GPR)
index,
CBOE
Crude
Oil
Volatility
Index
(OVX),
and
major
agricultural
livestock
indexes
using
a
vector
autoregression
(QVAR)-based
approach.
The
empirical
results
suggest
that
spillover
effects
are
higher
in
extreme
market
conditions
than
normal
conditions.
GPR
has
more
significant
impact
on
other
markets
long-term
domain
of
Moreover,
grain
primary
transmitters
spillovers,
while
OVX
predominantly
assumes
role
net
receiver
most
instances.
Meanwhile,
although
structure
frequencies
is
homogeneous
at
same
level,
connection
index
two
uncertainty
time-varying,
spillovers
heterogeneous
different
levels.
Our
research
provides
investors
policymakers
with
new
understandings
development
differentiated
crude
oil
volatility
aversion
strategies
under
conditions,
given
heterogeneity
domains.
Tourism Economics,
Год журнала:
2025,
Номер
unknown
Опубликована: Янв. 6, 2025
This
paper
aims
to
investigate
the
heterogeneous
effects
of
Southern
Oscillation
Index
(SOI)
on
tourism
Sector
International
Stock
Markets
under
varying
climate
conditions
and
time-frequency
using
Quantile-on-Quantile
Regression
(QQR)
method,
quantile
Granger-causality
test
Wavelet
Coherence
method.
The
study’s
findings
reveal
that:
(1)
Pacific
Rim
countries
exhibited
greater
sensitivity
SOI
fluctuations,
while
developed
markets
demonstrated
resilience;
(2)
revealed
a
strong
causal
relationship
between
indices,
particularly
during
periods
moderate
market
fluctuations
(at
0.25
0.75
quantiles);
(3)
since
2022,
has
intensified,
especially
in
mid-frequency
domain;
(4)
COVID-19
pandemic,
results
remained
robust,
suggesting
that
influence
extreme
persisted.
These
not
only
enhance
our
understanding
seasonal
phenomena
industries
different
but
also
provide
insights
for
market’s
adaptation
change.
