Does uncertainty matter for US financial market volatility spillovers? Empirical evidence from a nonlinear Granger causality network

Tong Fang and Zhi Su

Applied Economics Letters, 2021, vol. 28, issue 21, 1877-1883

Abstract: We investigate the role of uncertainty in US financial market volatility spillovers by using a directional financial network determined by the nonlinear Granger causality test. We find that uncertainty is an essential volatility transmission channel for financial market volatility spillovers. Financial uncertainty is the most central node in the financial market network. A subsample analysis, excluding the pandemic period, confirms the robustness of our results.

Date: 2021
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DOI: 10.1080/13504851.2020.1854656

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