{"title":"Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies","authors":"Zixin Liu , Jun Hu , Shuguang Zhang , Zhipeng He","doi":"10.1016/j.najef.2024.102249","DOIUrl":null,"url":null,"abstract":"<div><p>This paper investigates the tail risk spillover effects among the stock and foreign exchange markets of G20 economies, as well as the oil and gold markets by constructing a tail event driven network. Adjacency matrices indicate time-varying connectedness between network nodes. The systemic risk decomposition results highlight the predominant contribution of stock markets to the aggregate risk level, while oil, gold, and specific currencies such as JPY, USD, and CNY contribute to diversifying systemic risk. Moreover, tail event driven network quantile regression analysis demonstrates the asymmetry and market heterogeneity of risk spillover effects. Our findings have instructive implications for financial regulators and institutional investors.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102249"},"PeriodicalIF":3.8000,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824001748","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper investigates the tail risk spillover effects among the stock and foreign exchange markets of G20 economies, as well as the oil and gold markets by constructing a tail event driven network. Adjacency matrices indicate time-varying connectedness between network nodes. The systemic risk decomposition results highlight the predominant contribution of stock markets to the aggregate risk level, while oil, gold, and specific currencies such as JPY, USD, and CNY contribute to diversifying systemic risk. Moreover, tail event driven network quantile regression analysis demonstrates the asymmetry and market heterogeneity of risk spillover effects. Our findings have instructive implications for financial regulators and institutional investors.
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.
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