Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies

Zixin Liu, Jun Hu, Shuguang Zhang and Zhipeng He

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

Abstract: This paper investigates the tail risk spillover effects among the stock and foreign exchange markets of G20 economies, as well as the oil and gold markets by constructing a tail event driven network. Adjacency matrices indicate time-varying connectedness between network nodes. The systemic risk decomposition results highlight the predominant contribution of stock markets to the aggregate risk level, while oil, gold, and specific currencies such as JPY, USD, and CNY contribute to diversifying systemic risk. Moreover, tail event driven network quantile regression analysis demonstrates the asymmetry and market heterogeneity of risk spillover effects. Our findings have instructive implications for financial regulators and institutional investors.

Keywords: Risk spillover; G20 economies; Systemic risk; Network analysis (search for similar items in EconPapers)
JEL-codes: C58 G11 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001748

DOI: 10.1016/j.najef.2024.102249

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