The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes
Open accessAbstract
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of U.S. Treasury bonds, global stock indices, and commodities. The U.S. stock market is the center of the international volatility spillover network, and its volatility spillover to other markets has intensified since 2008. Moreover, U.S. quantitative easing alone explains 40%–55% of intensifying spillover from the United States. The addition of interest rate and currency factors does not diminish the dominant role of quantitative easing. Our findings highlight the primary contribution of U.S. unconventional monetary policy to volatility spillovers and potential global systemic risk. This paper was accepted by Neng Wang, finance.
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Cites
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Financial markets under the global pandemic of COVID-19
Zhang, D., Hu, M., & Ji, Q. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101528 · Cited by 2,341
Metadata
- Authors
- Yang, Z., & Zhou, Y.
- Venue
- Management Science
- Published
- 2017-02
- Volume
- 63
- Issue
- 2
- Pages
- 333-354
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W2273187009
- Cited by
- 242
- References
- 1
- FWCI
- 15.97
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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