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Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes
Zihui Yang,Yinggang Zhou +1 more
TLDR
In this paper, the authors identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities.Abstract:
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities. The US stock market is the center of the international volatility spillover network and its volatility spillover to other markets has intensified since 2008. Moreover, US quantitative easing alone explains 40% to 55% of intensifying spillover from the US. The addition of interest rate and currency factors does not diminish the dominant role of quantitative easing. Our findings highlight the primary contribution of US unconventional monetary policy to volatility spillovers and potential global systemic risk.read more
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Financial markets under the global pandemic of COVID-19.
Dayong Zhang,Min Hu,Qiang Ji +2 more
TL;DR: The potential consequence of policy interventions, such as the US’ decision to implement a zero-percent interest rate and unlimited quantitative easing (QE), and how these policies may introduce further uncertainties into global financial markets are analyzed.
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Price connectedness between green bond and financial markets
Juan C. Reboredo,Andrea Ugolini +1 more
TL;DR: In this article, price connectedness between the green bond and financial markets using a structural vector autoregressive (VAR) model that captures direct and indirect transmission of financial shocks across markets was studied.
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Global financial crisis and rising connectedness in the international commodity markets
Dayong Zhang,David C. Broadstock +1 more
TL;DR: In this paper, a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis is documented, showing that co-dependence in price changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now.
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Economic policy uncertainty in the US and China and their impact on the global markets
TL;DR: In this paper, the authors build a time series model following Diebold and Yilmaz (2014) to estimate the influence of both the US and China on several key international markets, namely, stock, credit, energy and commodity markets.
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Information interdependence among energy, cryptocurrency and major commodity markets
TL;DR: In this paper, the authors examined the information interdependence among various commodities, such as energy, metals and agricultural commodities, and leading cryptocurrencies and found that cryptocurrencies are integrated within broadly defined commodity markets.
References
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
MonographDOI
Causality: models, reasoning, and inference
TL;DR: The art and science of cause and effect have been studied in the social sciences for a long time as mentioned in this paper, see, e.g., the theory of inferred causation, causal diagrams and the identification of causal effects.
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Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
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Generalized Impulse Response Analysis in Linear Multivariate Models
H.Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This paper proposed a generalized impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models, which does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR.