| 正文 | We identify networks of volatility spillovers and examine time-varying spillover intensities with daily
implied volatilities of US Treasury bonds, global stock indexes, and commodities. The US stock market is
the center of the international volatility spillover network and its volatility spillover to other markets has
intensified since 2008. Moreover, US quantitative easing alone explains 40% to 55% of intensifying
spillover from the US. The addition of interest rate and currency factors does not diminish the dominant
role of quantitative easing. Our findings highlight the primary contribution of US unconventional
monetary policy to volatility spillovers and potential global systemic risk. |
