Seeking a shock haven: Hedging extreme upward oil price changes
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 ri...
| Main Authors: | , , , , |
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| Format: | Journal Article |
| Published: |
2024
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| Online Access: | http://hdl.handle.net/20.500.11937/97467 |
| _version_ | 1848766274924969984 |
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| author | Conlon, T. Corbet, S. Hou, Y. Hu, Y. Oxley, Leslie |
| author_facet | Conlon, T. Corbet, S. Hou, Y. Hu, Y. Oxley, Leslie |
| author_sort | Conlon, T. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T11:48:33Z |
| format | Journal Article |
| id | curtin-20.500.11937-97467 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:48:33Z |
| publishDate | 2024 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-974672025-04-16T02:59:53Z Seeking a shock haven: Hedging extreme upward oil price changes Conlon, T. Corbet, S. Hou, Y. Hu, Y. Oxley, Leslie 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. 2024 Journal Article http://hdl.handle.net/20.500.11937/97467 10.1016/j.irfa.2024.103245 unknown |
| spellingShingle | Conlon, T. Corbet, S. Hou, Y. Hu, Y. Oxley, Leslie Seeking a shock haven: Hedging extreme upward oil price changes |
| title | Seeking a shock haven: Hedging extreme upward oil price changes |
| title_full | Seeking a shock haven: Hedging extreme upward oil price changes |
| title_fullStr | Seeking a shock haven: Hedging extreme upward oil price changes |
| title_full_unstemmed | Seeking a shock haven: Hedging extreme upward oil price changes |
| title_short | Seeking a shock haven: Hedging extreme upward oil price changes |
| title_sort | seeking a shock haven: hedging extreme upward oil price changes |
| url | http://hdl.handle.net/20.500.11937/97467 |