Cuñado, J. (Juncal)
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- Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic(Elsevier, 2023) Cuñado, J. (Juncal); Gabauer, D. (David); Antonakakis, N. (Nikolaos); Filis, G. (George); Pérez-de-Gracia, F. (Fernando)This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP- VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 — covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets’ volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes’ implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification.
- The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis(Springer, 2018) Cuñado, J. (Juncal); Gupta, R. (Rangan); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966–2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across states, while the fractional cointegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
- Is the US fiscal deficil sustainable? A fractionally integrated and cointegrated approach.(Noth-Holland, 2004) Cuñado, J. (Juncal); Gil-Alana, L.A. (Luis A.); Pérez-de-Gracia, F. (Fernando)
- Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries.(Elsevier, 2005) Cuñado, J. (Juncal); Pérez-de-Gracia, F. (Fernando)
- Price convergence patterns across U.S. States(National Library of Serbia, 2019) Cuñado, J. (Juncal); Gupta, R. (Rangan); Christou, C. (Christina)This study examines the convergence patterns of prices across 50 U.S. states over the period 1960-2007, by applying the convergence algorithm developed by Peter C. B. Phillips and Donggyu Sul (2007). The empirical findings suggest the rejection of full convergence across the 50 U.S. states’ prices, and the presence of 11 subgroups, or convergence clubs. The main implications of this paper point to the low degree of market integration across the U.S. states, the limitations of using a unique national price deflator to calculate real U.S. state variables, and the different effects that national monetary policy decisions will have on U.S. state prices.
- Testing the white noise hypothesis in high-frequency housing returns of the United States(Universidad de Oviedo, 2020) Cuñado, J. (Juncal); Kumar-Tiwari, A. (Aviral); Gupta, R. (Rangan); Sheng, X. (Xin)In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence. Our results have important implications for economic agents.
- Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures(Elsevier, 2023) Cuñado, J. (Juncal); Gabauer, D. (David); Chatziantoniou, I. (Ioannis); Pérez-de-Gracia, F. (Fernando); Hardik, M. (Marfatia)This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net transmitter of shocks in the network across all quartiles. The dynamic total connectedness is heterogeneous over time and driven by economic events. Interestingly, we see that the higher the quartile the more pronounced the net transmission mechanisms of realized volatilities. Notably, the net total directional and pairwise connectedness measures illustrate in most cases similar dynamics.
- Revisiting the twin deficits hypothesis: a quantile cointegration analysis over the period 1791-2013(Informa UK Limited, 2019) Segnon, M. (Mawuli); Cuñado, J. (Juncal); Antonakakis, N. (Nikolaos); Gupta, R. (Rangan)We revisit the twin deficits hypothesis by examining the long-run cointegrating relationship between the US budget and trade deficits across various quantiles using a unique dataset for the period 1791–2013. The main results suggest the existence of nonlinearities and structural breaks in the relationship between the trade and budget deficits, indicating that the long-run relationship between the two variables has not been constant overtime. Furthermore, we find evidence in favour of the twin deficits hypothesis. Finally, the results suggest that the cointegrating coefficient in the long-run relationship between the two variables is not constant across different quantiles. In fact, we find that an increase in the budget deficit will have a greater effect on the trade deficit at quantiles below the median than at higher quantiles, suggesting that the effectiveness of restrictive fiscal policies directed to reduce trade deficits will depend on the actual size of the budget deficit.
- Modelling Long Run Trends and Cycles in Financial Time Series Data(2012) Cuñado, J. (Juncal); Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.)This paper proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined.
- Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial Liberalization.(Elsevier, 2006) Gómez-Biscarri, J. (Javier); Cuñado, J. (Juncal); Pérez-de-Gracia, F. (Fernando)