This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID...This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.展开更多
This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Can...This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.展开更多
Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model...Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model to investigate mean and volatility spillover effects between Bitcoin and other major assets and explore whether Bitcoin can be used either as a hedging asset or a safe haven.Our empirical results show that(i)only the monetary market,i.e.,the Shanghai Interbank Offered Rate(SHIIBOR)has a mean spillover effect on Bitcoin and(ii)gold,monetary,and bond markets have volatility spillover effects on Bitcoin,while Bitcoin has a volatility spillover effect only on the gold market.We further find that Bitcoin can be hedged against stocks,bonds and SHIBOR and is a safe haven when extreme price changes occur in the monetary market.Our findings provide useful information for investors and portfolio risk managers who have invested or hedged with Bitcoin.展开更多
As the world witnesses soaring grain prices,China remains largely unaffected The global grain market has been on a roller-coaster ride in recent years.Soaring grain prices have roused widespread concern.Since Septembe...As the world witnesses soaring grain prices,China remains largely unaffected The global grain market has been on a roller-coaster ride in recent years.Soaring grain prices have roused widespread concern.Since September 2006,grain prices have been skyrocketing around the world.By the end of 2007,the prices of wheat,soybeans展开更多
Built to protect the capital of the Yuan Dynasty,Beijing’s city wall is now a tourist attraction and a safety shelter in times of disaster Kublai Khan,the grandson of Genghis Khan,founded the Yuan Dynasty(1279-1368) ...Built to protect the capital of the Yuan Dynasty,Beijing’s city wall is now a tourist attraction and a safety shelter in times of disaster Kublai Khan,the grandson of Genghis Khan,founded the Yuan Dynasty(1279-1368) and established the capital in Yanjing(the area of present day Beijing),which he named Dadu.Its city wall,a milestone in the urban construction history of China,was built,and Dadu became the last city constructed by an overall plan in Chinese feudal society.展开更多
基金supported in part by grants from the Ministry of Science and Technology,Taiwan,under Grant no.MOST 111-2410-H-240-001-.
文摘This study aims to examine whether life insurance futures can serve as a hedge against the COVID-19 pandemic and whether they have the characteristics of a safe haven under the impact of the health shocks of the COVID-19 pandemic.We chose three life insurance stock futures in India and one in Taiwan as samples,including the market index of the two countries and the number of confirmed COVID-19 cases as sample variables.We used the growth rate of COVID-19 cases as the threshold variable,esti-mated the asymmetric threshold vector autoregression model,and found that insur-ance futures in the regime with a significant growth rate of confirmed COVID-19 cases can hedge against COVID-19 risks;therefore,insurance futures are a safe haven for the market.We further estimated the time-varying parameter vector autoregression model,and the impulse response results showed that insurance futures are a safe haven for COVID-19 pandemic risks.
文摘This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.
基金This work was supported by the National Natural Science Foundation of China(Grant Nos.71871088,71501066,71971079,and 71521061)the Huxiang Youth Talent Support Program,and the Hunan Provincial Natural Science Foundation of China(Grant No.2017JJ3024).
文摘Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model to investigate mean and volatility spillover effects between Bitcoin and other major assets and explore whether Bitcoin can be used either as a hedging asset or a safe haven.Our empirical results show that(i)only the monetary market,i.e.,the Shanghai Interbank Offered Rate(SHIIBOR)has a mean spillover effect on Bitcoin and(ii)gold,monetary,and bond markets have volatility spillover effects on Bitcoin,while Bitcoin has a volatility spillover effect only on the gold market.We further find that Bitcoin can be hedged against stocks,bonds and SHIBOR and is a safe haven when extreme price changes occur in the monetary market.Our findings provide useful information for investors and portfolio risk managers who have invested or hedged with Bitcoin.
文摘As the world witnesses soaring grain prices,China remains largely unaffected The global grain market has been on a roller-coaster ride in recent years.Soaring grain prices have roused widespread concern.Since September 2006,grain prices have been skyrocketing around the world.By the end of 2007,the prices of wheat,soybeans
文摘Built to protect the capital of the Yuan Dynasty,Beijing’s city wall is now a tourist attraction and a safety shelter in times of disaster Kublai Khan,the grandson of Genghis Khan,founded the Yuan Dynasty(1279-1368) and established the capital in Yanjing(the area of present day Beijing),which he named Dadu.Its city wall,a milestone in the urban construction history of China,was built,and Dadu became the last city constructed by an overall plan in Chinese feudal society.
