Quantitative Easing and Volatility Spillovers across Countries and Asset Classes
| 主讲人 |
Yinggang Zhou |
简介 |
<div>Abstract</div>
<div>We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities. The US stock market is the center of the international volatility spillover network and its volatility spillover to other markets has intensified in the era of quantitative easing. Moreover, we find that US quantitative easing is a primary driver of intensifying spillover from the US to the rest of the world. Our findings highlight the central contribution of US unconventional monetary policy to volatility spillovers and potential systemic risk across the global financial system.</div>
<div> </div>
<div>Keywords: volatility spillover; risk neutral volatility; quantitative easing; systemic risk; financial network; structural VAR</div>
<div> </div>
<div>JEL Classifications: G01, G15, G32</div>
<div> </div> |
| 时间 |
2014-12-24(星期三)16:30-18:00 |
地点 |
N303 经济楼/Economics Building |
| 讲座语言 |
English |
主办单位 |
WISE-SOE |
| 承办单位 |
|
类型 |
系列讲座 |
| 联系人信息 |
|
主持人 |
Peilin Hsieh (WISE) |
| 专题网站 |
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专题 |
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| 主讲人简介 |
<p> The Chinese University of Hong Kong</p>
<p>Business School</p>
<p><a href="/EventsMgr/Upload/File/2014/12/20141215070649704.pdf">Prof. Yinggang Zhou' CV</a></p> |
期数 |
“WISE-SOE”2014秋季学期“高级经济学系列讲座”第十七讲（总第338讲）--金融领域 |
