Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes
研究了美国国债、全球股指和大宗商品的隐含波动率网络，发现美国股市是国际波动溢出中心，且2008年后溢出加剧，其中美国量化宽松政策单独解释了40%-55%的溢出增强。
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. This paper was accepted by Neng Wang, finance.