Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329066 
Year of Publication: 
2024
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 12 [Issue:] 6 [Article No.:] 140 [Year:] 2024 [Pages:] 1-23
Publisher: 
MDPI, Basel
Abstract: 
This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995 to Q4-2023. Additionally, the impact of crude oil price volatility on these factors was examined. The empirical results confirmed the presence of the leverage effect and identified multiple volatility switches associated with remarkable events like the GFC, the European debt crisis, the COVID-19 pandemic, and the Russian war. ARDL model analysis revealed a statistically significant positive relationship between oil prices and both unemployment and inflation rates in the long term, while other factors showed a negative correlation.
Subjects: 
ADRL model
GARCH-type models
macroeconomic factors
MS-GARCH models
oil price fluctuation
JEL: 
D53
E31
E32
G15
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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