Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises
研究了美国及全球经济基本面如何加剧新兴股市波动，并作为系统性风险因素增加金融脆弱性，发现美国政策不确定性、传染病新闻、全球信贷和大宗商品因素对新兴市场波动有显著影响，且2008年金融危机和新冠疫情放大了这些影响。
This paper studies the US and global economic fundamentals that exacerbate emerging stock markets volatility and can be considered as systemic risk factors increasing financial stability vulnerabilities. We apply the bivariate HEAVY system of daily and intra-daily volatility equations enriched with powers, leverage, and macro-effects that improve its forecasting accuracy significantly. Our macro-augmented asymmetric power HEAVY model estimates the inflammatory effect of US uncertainty and infectious disease news impact on equities alongside global credit and commodity factors on emerging stock index realized volatility. Our study further demonstrates the power of the economic uncertainty channel, showing that higher US policy uncertainty levels increase the leverage effects and the impact from the common macro-financial proxies on emerging markets' financial volatility. Lastly, we provide evidence on the crucial role of both financial and health crisis events (the 2008 global financial turmoil and the recent Covid-19 pandemic) in raising markets' turbulence and amplifying the volatility macro-drivers impact, as well. Supplementary Information: The online version supplementary material available at 10.1007/s10479-021-04042-y.