Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

• 成果类型: Article
• 署名作者: Yang, Zihui; Zhou, Yinggang
• 署名单位: Sun Yat Sen University; Xiamen University; Xiamen University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2305
• 发表日期: 2017
• 页码: 333-354
• 关键词: volatility spillover; risk-neutral volatility; quantitative easing; Systemic risk; Financial network; structural VAR

摘要

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.