This study examines the interconnections between short shadow rates (SSR) and energy markets. We conduct multifractal detrended cross-correlation analysis (MF-DXA) on the daily SSR from four major economies (USA, Eurozone, Japan, and UK) and the daily prices of four energy markets (WTI, Brent, Natural Gas, and Heating Oil) spanning January 1995 to March 2022. Our analysis shows that all energy market-short shadow rate pairs display significant multifractal characteristics. The presence of power law cross-correlation suggests that substantial changes in short shadow rates are associated with significant price changes in energy markets. The highest multifractal cross-correlation is observed between energy prices and shadow short rates of Japan and the US. Energy markets demonstrate persistent cross-correlations for small fluctuations compared to large fluctuations. However, the rolling windows analysis reveal a shift from persistent to anti-persistence cross-correlations during global financial crises (GFC), the 2014–2016 energy crises and the COVID-19 pandemic. Lastly, the cross-correlation exhibit positive skewness. We suggest that integrating these long-term dependency features into financial analysis has the potential to support decision-making for market participants.

本研究探讨了短期影子利率（SSR）与能源市场之间的相互联系。我们对四个主要经济体（美国、欧元区、日本和英国）的每日 SSR 以及四个能源市场（WTI、布伦特、天然气和取暖油）的每日价格进行多重分形去趋势互相关分析 (MF-DXA) ）跨越 1995 年 1 月至 2022 年 3 月。我们的分析表明，所有能源市场-短期影子利率对都显示出显着的多重分形特征。幂律互相关的存在表明，短期影子利率的大幅变化与能源市场价格的重大变化有关。日本和美国的能源价格与影子短期利率之间存在最高的多重分形互相关性。与大波动相比，能源市场表现出小波动的持续互相关性。然而，滚动窗口分析揭示了在全球金融危机 (GFC)、2014-2016 年能源危机和 COVID-19 大流行期间，互相关从持续性向反持续性的转变。最后，互相关表现出正偏度。我们建议将这些长期依赖性特征整合到财务分析中，有可能支持市场参与者的决策。