A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-06-27 DOI:10.1016/j.najef.2024.102232

Mei-Chih Wang , Tsangyao Chang , Alexey Mikhaylov , Jia Linyu

引用次数: 0

Abstract

This study applies the Quantile-on-Quantile Connectedness approach to analyze quantile spillovers between the US yield curve spread (10-year vs. 2-year Treasury yields), the US dollar, and gold price from 2 January 2000 to 31 July 2023, covering the COVID-19 pandemic. Our results show that inversely related quantiles demonstrate significantly higher average total connectedness than directly related quantiles among these variables. Additionally, we found that this quantile-based connectedness fluctuates over time, suggesting a dynamic and varied relationship between the US yield spread, the US dollar, and gold prices throughout the period studied.

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美国国债收益率曲线利差、美元和黄金价格的量子对量子关联度测量方法

本研究采用量级对量级连通性方法，分析了 2000 年 1 月 2 日至 2023 年 7 月 31 日期间美国收益率曲线利差（10 年期国债收益率与 2 年期国债收益率之比）、美元和黄金价格之间的量级溢出效应，涵盖了 COVID-19 大流行。我们的研究结果表明，在这些变量中，反向相关量级的平均总关联度明显高于直接相关量级。此外，我们还发现，这种基于量级的关联性会随着时间的推移而波动，这表明在整个研究期间，美国收益率利差、美元和黄金价格之间存在着动态的、多变的关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.