A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price

Mei-Chih Wang, Tsangyao Chang, Alexey Mikhaylov and Jia Linyu

The North American Journal of Economics and Finance, 2024, vol. 74, issue C

Abstract: This study applies the Quantile-on-Quantile Connectedness approach to analyze quantile spillovers between the US yield curve spread (10-year vs. 2-year Treasury yields), the US dollar, and gold price from 2 January 2000 to 31 July 2023, covering the COVID-19 pandemic. Our results show that inversely related quantiles demonstrate significantly higher average total connectedness than directly related quantiles among these variables. Additionally, we found that this quantile-based connectedness fluctuates over time, suggesting a dynamic and varied relationship between the US yield spread, the US dollar, and gold prices throughout the period studied.

Keywords: Quantile-on-quantile connectedness; Financial market dynamics; Quantile spillovers; Yield curve spread analysis; COVID-19 pandemic economic impact; Monetary policy implications; Time-varying market interconnectedness (search for similar items in EconPapers)
JEL-codes: C58 E43 F31 G01 G15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001578

DOI: 10.1016/j.najef.2024.102232

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