Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets
提出新模型分析宏观经济冲击对股票、债券、黄金和原油市场波动溢出的影响，发现无冲击时股票是主要溢出源、原油是主要接收者，而冲击会显著改变这一关系，债券和黄金则更稳定。
This paper introduces a novel model to analyze the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from macroeconomic changes. Our analysis reveals that without macroeconomic shocks, the Stock market predominantly acts as the main source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market’s role in driving volatility spillover, especially towards the Crude Oil market, changes markedly in the context of macroeconomic shocks. These shocks exert a more substantial impact on Crude Oil compared to other markets. In contrast, the Bond and Gold markets exhibit a lower level of volatility transmission and are less influenced by macroeconomic shocks, thereby reinforcing their roles as stabilizers within the financial system.