Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes
Zihui Yang () and
Yinggang Zhou ()
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Zihui Yang: Lingnan College, Sun Yat-Sen University, Guangzhou 510275, China
Yinggang Zhou: Department of Finance at School of Economics, and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen 361005, China
Management Science, 2017, vol. 63, issue 2, 333-354
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 .
Keywords: volatility spillover; risk-neutral volatility; quantitative easing; systemic risk; financial network; structural VAR (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:63:y:2017:i:2:p:333-354
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