Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness
使用分位数向量自回归方法，研究了全球金融压力指数与美国金融部门在低、中、极端波动条件下的波动连接性，发现极端波动时期溢出效应更高，且美国金融部门在极端波动时成为净冲击接收者。
This study uses quantile vector-autoregressive to examine volatility connectedness among a global financial stress index (including five categories: credit, equity valuation, funding, safe assets, and volatility) and US financial sectors under low, moderate, and extreme volatility conditions. The dataset includes the special periods covering the global financial crisis, China crisis, COVID-19 pandemic, Russian–Ukrainian war, Silicon Valley Bank failure, and Credit Suisse bank crisis. The findings imply that spillover effects among the series are higher during extreme volatility than during low and moderate volatility periods. During periods of low volatility, the credit category of the financial stress index and the US financial sector indices are net shock transmitters, but during extreme volatility periods, the US financial sectors become net shock receivers alongside the credit and funding categories of the financial stress indices. US financial sectors also exhibit net shock recipient roles at extreme volatility levels during those special periods.