大宗商品、比特币和新兴市场之间的动态波动溢出效应

IF 4.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2025-09-30 DOI:10.1016/j.ememar.2025.101375

Jesús Molina-Muñoz , Andrés Mora-Valencia , Javier Perote

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引用次数: 0

摘要

本研究采用Diebold和Yilmaz的溢出框架，分析了新兴市场、比特币和大宗商品之间的动态波动溢出效应。作为副产品，利用传统方法、机器学习和深度学习预测新兴市场指数、比特币、黄金和石油价格之间的总波动溢出指数，为预测动荡时期提供了一种方法。研究结果支持了油价波动、美国经济政策的不确定性以及主权债券市场的稳定性对波动溢出效应的重要性，验证了机器和深度学习方法预测这些溢出效应的能力。

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Dynamic volatility spillovers among commodities, bitcoin, and emerging markets

In this study, the dynamic volatility spillovers among emerging markets, Bitcoin, and commodities are analyzed using Diebold and Yilmaz's spillover framework. As a by-product, a total volatility spillover index among an emerging markets index, Bitcoin, gold, and oil prices is forecast using traditional methods, machine learning, and deep learning, providing a method for anticipating turbulent periods. The results support the importance of volatility in oil prices, uncertainty about U.S. economic policy, and the stability of the sovereign bonds market for the dynamics of volatility spillovers, validating the ability of machine and deep learning approaches to predict those spillovers.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.