This research investigates the asymmetric dependence of the Baltic Dry Index on conventional financial markets during major global economic events in the period 1995–2023 using the rolling window wavelet correlation (RWWC) and time-varying parameter vector autoregression (TVP-VAR). The results of the RWWC reveal a considerable relationship between these markets over short- to medium-term investment horizons, whereas the relationship dynamically switches between positive and negative in the long term. The TVP-VAR reveals that asymmetry occurs for upward and downward movement spillover results. The total connectedness index is higher for downward market codition spillover than for the upward market market spillover.

中文翻译：

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全球经济事件异质性下波罗的海干散货运价指数与传统金融市场的不对称依赖

本研究利用滚动窗口小波相关性 (RWWC) 和时变参数向量自回归 (TVP-VAR) 调查了 1995 年至 2023 年期间全球重大经济事件期间波罗的海干散货指数对传统金融市场的不对称依赖性。RWWC 的结果揭示了这些市场之间在中短期投资期限内存在相当大的关系，而从长期来看，这种关系在积极和消极之间动态切换。TVP-VAR 揭示了向上和向下运动溢出结果存在不对称性。向下市场溢出的总连通性指数高于向上市场溢出的总连通性指数。