High–low volatility spillover network between economic policy uncertainty and commodity futures markets
研究了经济政策不确定性与商品期货之间高低波动溢出的差异，发现低波动网络对风险预测更有用，可为金融压力提供预警信号。
Abstract Based on the formation and evolution of systemic risk, we study the high‐low volatility spillovers between economic policy uncertainty (EPU) and commodity futures and identify the source of risk accumulation and risk outbreak, as well as the corresponding contagion mechanisms. Upon comparing topological characteristics on each volatility layer, our results demonstrate that high and low volatility spillover networks have different network characteristics and evolution behaviors. At the system level, high volatility spillovers are relatively stronger than spillovers in in low volatility network, while the risk propagation efficiency in the low volatility network is higher. At the market level, EPU is not only an important risk‐emitter but also a risk‐recipient most of the time. Additionally, compared with high volatility network, low volatility network characteristics have greater predictive ability for risk spillover among commodity futures, which means that it contains additional information and provides early warning signals for financial stress.