Browsing by Subject "TVP-VAR"

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Assessing the US financial sector post three bank collapses: signals from fintech and financial sector ETFs
(Elsevier BV, 2023-10-12) Banerjee, A. K.; Pradhan, H. K.; Şensoy, Ahmet; Goodell, J. W.
We investigate the effects of the collapses of Silicon Valley Bank, Signature Bank, and First Republic Bank on the US financial sector by analysing returns and second moments of traditional financial and fintech ETFs. Using a network model, we examine high-frequency data sampled at one-hour intervals for seventeen ETFs encompassing pre- and crisis periods. We find, using a time-varying parametric vector autoregressive (TVP-VAR) and volatility impulse response analysis, that traditional financial ETFs are net transmitters of returns and volatility spillovers in the network, and that this impact is more pronounced in volatility in the period coinciding with the collapse of the three big banks. We identify effects persisting through the medium term. This study is among the first to comprehensively analyze the recent crisis in the US banking sector, covering a full range of the fall of three big banks.
Embargo
Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments
(Elsevier, 2024-08) Banerjee, Ameet Kumar; Dionisio, Andreia; Şensoy, Ahmet; Goodell, John W.
This study is epicentral to analyzing the impact of futures volatility on portfolio and risk management, as extant literature indicates the challenges of using economic variables that fall short of forecasting volatility beyond lagged values. Further, higher moments may be better adaptive to signaling distress during market upheavals. This paper sources data from Bloomberg from March 26, 2018–April 28, 2023, to examine the dynamic spillovers of higher moments among Shanghai International Energy Exchange and US energy futures contracts by constructing realized skewness and kurtosis. Using nonlinear techniques of mutual information and time-varying vector autoregression (TVP-VAR), we show that realized skewness and kurtosis offer significant information on spillover transmission between the two futures markets, primarily through the crises of COVID-19 and the Russia and Ukraine war. Further, we identify that the risks embedded in these future contracts have increased significantly. Our results have important implications for policymakers, investors, and risk managers.
Embargo
How does the time-varying dynamics of spillover between clean and brown energy ETFs change with the intervention of climate risk and climate policy uncertainty?
(Elsevier BV, 2024-06) Banerjee, Ameet Kumar; Özer, Zeynep Sueda; Rahman, Ramizur; Şensoy, Ahmet
This paper studies how climate change risks and uncertainty in climate policies impact asset pricing. We analyze this issue through the interaction mechanism between clean and brown energy ETFs. We choose energy ETFs for their broader role in the transition phase as investment flows into clean energy ETFs with rising climate change risks. The paper analyzes the changing dynamics of interconnectedness between clean and carbon-energy assets as they differ in transmitting and receiving shocks between normal versus crisis periods in the backdrop of climate risk. Using daily data of clean and brown energy instruments with the TVP-VAR framework, we show that the asymmetric connectedness between the two instruments increases during crises. Specific clean and brown instruments are either net givers or receivers, and the climate risk and policy uncertainty variables are net receivers throughout the study periods. The results bring newer insights into interconnectivity, which have significant implications for market participants, especially for policymakers strategizing risk mitigation policies and the fund management industry for broader diversification and eco-savvy investors investing in eco-efficient portfolios offering better risk-return tradeoffs.
Open Access
Interaction between clean and brown energy ETFS under climate risk and climate policy uncertainty
(2024-06) Özer, Zeynep Sueda
How influential are climate change risks on asset pricing? The thesis examines this problem with respect to the interaction mechanism between clean and brown energy exchange traded funds (ETFs). I choose energy ETFs for their broader role in the transition phase as investment flows into clean energy ETFs with rising climate change risks. I analyze the changing dynamics of interconnectedness between clean and carbon-energy assets as they differ in transmitting and receiving shocks between normal versus crisis periods in the backdrop of climate risk and climate policy uncertainty. Using daily data of clean and brown energy instruments with employing the TVP-VAR framework, I show that asymmetric connectedness between two classes of instruments increase during crisis periods. Specific clean and brown instruments are either net givers or receivers, and the climate risk and policy uncertainty variables are net receivers throughout the study periods. The results bring newer insights into interconnectivity, which have significant implications for market participants.