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    Seeking a shock haven: Hedging extreme upward oil price changes

    Access Status
    In process
    Authors
    Conlon, T.
    Corbet, S.
    Hou, Y.
    Hu, Y.
    Oxley, Leslie
    Date
    2024
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Conlon, T. and Corbet, S. and Hou, Y. and Hu, Y. and Oxley, L. 2024. Seeking a shock haven: Hedging extreme upward oil price changes. International Review of Financial Analysis. 94.
    Source Title
    International Review of Financial Analysis
    DOI
    10.1016/j.irfa.2024.103245
    ISSN
    1057-5219
    Faculty
    Faculty of Business and Law
    School
    School of Accounting, Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/97467
    Collection
    • Curtin Research Publications
    Abstract

    Crude oil is prone to large upward price shocks, creating challenges for personal and corporate budgeting and the economy more broadly. In this paper, we systematically assess a range of possible assets which might function as shock havens against large oil price shocks. Empirical tests uncover a rich set of assets which act both as hedges and shock havens, including precious metals, soft commodities and, with less consistency, currencies. The range of possible hedges is extensive, marked by a positive correlation with oil returns on average. Gold, silver, platinum, corn, and wheat are shown to provide consistent shock haven properties across various specifications, including those surrounding the large oil price changes observed during the COVID-19 Pandemic and following the invasion of Ukraine.

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