Asymmetric Networks of Global Volatility Spillovers
Posted: 14 Jun 2016
Date Written: 2015
We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and asset classes. Our findings offer new evidence for the recent theory that shocks from an individual market or sector can lead to sizable aggregate fluctuations if network linkages are sufficiently asymmetric. We also provide a new tool for event studies in a network setting.
Keywords: Network; Volatility Spillover; Asymmetric linkage; Systemic risk
JEL Classification: C58, G15, G32
Suggested Citation: Suggested Citation