Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets

Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585, Guan, Bo ORCID: https://orcid.org/0000-0001-9764-5646, Lu, Wenna and Heravi, Saeed ORCID: https://orcid.org/0000-0002-0198-764X 2024. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. Energy Economics 136 , 107750. 10.1016/j.eneco.2024.107750

Preview

PDF - Published Version Available under License Creative Commons Attribution. Download (1MB) | Preview

Abstract

This paper introduces a novel model to analyse the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from macroeconomic changes. Our analysis reveals that without macroeconomic shocks, the Stock market predominantly acts as the main source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market’s role in driving volatility spillover, especially towards the Crude Oil market, changes markedly in the context of macroeconomic shocks. These shocks exert a more substantial impact on Crude Oil compared to other markets. In contrast, the Bond and Gold markets exhibit a lower level of volatility transmission and are less influenced by macroeconomic shocks, thereby reinforcing their roles as stabilizers within the financial system.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Publisher:	Elsevier
ISSN:	0140-9883
Date of First Compliant Deposit:	2 July 2024
Date of Acceptance:	29 June 2024
Last Modified:	11 Jul 2024 11:55
URI:	https://orca.cardiff.ac.uk/id/eprint/170221

Actions (repository staff only)

Edit Item