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- Title
Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes.
- Authors
Yang, Zihui; Zhou, Yinggang
- Abstract
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.
- Subjects
MARKET volatility; EXTERNALITIES; RISK assessment; QUANTITATIVE easing (Monetary policy); SYSTEMIC risk (Finance); STRUCTURAL adjustment (Economic policy)
- Publication
Management Science, 2017, Vol 63, Issue 2, p333
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.2015.2305