Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition
研究了2001年10月至2022年1月间油价冲击（需求、供给和风险冲击）与美国行业收益的动态关联性，发现多数行业指数和风险冲击是净贡献者，而需求和供给冲击是净接收者，并探讨了分散投资组合的收益。
This paper examines the dynamic return and volatility connectedness between oil price shocks (demand, supply, and risk shocks) and US sector returns from October 2001 to January 2022. For this purpose, we combine the decomposition of the time series in time scales through the wavelet approach with the application of the TVP-VAR model proposed by Antonakakis et al. (2020). Our results show the high dynamic connectedness between markets and allow the identification of the role of all sector indices (except Communication Services, Utilities and Real Estate) and risk shocks as net contributors of shocks to the system, whereas demand and supply shocks are net receivers of spillovers. We further explore and document from a portfolio performance perspective the benefits of diversified portfolios comprised of all consider sector indices that include assets linked to the calculation of oil price shocks according to Ready (2018).