Journal
MANAGEMENT SCIENCE
Volume 63, Issue 2, Pages 333-354Publisher
INFORMS
DOI: 10.1287/mnsc.2015.2305
Keywords
volatility spillover; risk-neutral volatility; quantitative easing; systemic risk; financial network; structural VAR
Funding
- National Natural Science Foundation of China [71273286]
- Program for New Century Excellent Talents in University [NCET-11-0546]
- Foundation for the Author of National Excellent Doctoral Dissertation of PR China [201103]
- Philosophy and Social Sciences Houqi grant from the Chinese Ministry of Education [13JHQ010]
- Guangdong Natural Science Foundation [S2013010012485]
- Fundamental Research Funds for the Central Universities
- Research Grants Council of Hong Kong [493913]
- Focused Innovations Scheme of the Chinese University of Hong Kong [1907212]
- Xiamen University's Fundamental Research Funds for the Central Universities [2072016012]
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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.
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