Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Yongdeng Xu, Bo Guan, Wenna Lu and Saeed Heravi

Energy Economics, 2024, vol. 136, issue C

Abstract: This paper introduces a novel model to analyze the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from macroeconomic changes. Our analysis reveals that without macroeconomic shocks, the Stock market predominantly acts as the main source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market’s role in driving volatility spillover, especially towards the Crude Oil market, changes markedly in the context of macroeconomic shocks. These shocks exert a more substantial impact on Crude Oil compared to other markets. In contrast, the Bond and Gold markets exhibit a lower level of volatility transmission and are less influenced by macroeconomic shocks, thereby reinforcing their roles as stabilizers within the financial system.

Keywords: Volatility spillover; Macroeconomic shocks; Multiplicative error model; Realized volatility; Financial markets (search for similar items in EconPapers)
JEL-codes: C32 C52 G14 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988324004584
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584

DOI: 10.1016/j.eneco.2024.107750

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().