Dynamic Interactions between the Markets of Crude Oil and Fine Wine in Light of the Global Economic Growth
DOI :
https://doi.org/10.15173/esr.v20i1.545Mots-clés :
Conditional correlations, crude oil, fine wines, multivariate GARCH, global economic growth, volatility transmission,Résumé
The purpose of this paper is to investigate the dynamic interactions of return and volatility transmission between crude oil and fine wine prices accounting for the global economic activity. Within a multivariate framework and using monthly data over the period 1988-2012, we addressed the co-movement between crude oil and fine wine markets by means of time-varying conditional variance and correlation. Empirical results indicate that the crude oil mean return dominates that of the wine market. The effects of negative shocks are asymmetric between the two markets. Besides high levels of volatility persistence, innovations in each market can help investors and risk managers in predicting the volatility in other markets. Finally, we found evidence that the linkages between the two markets are affected by the global industrial production levels.
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