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Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents
,
Dimitra Kontana,
Evi Tzika
Empirical Economics, Volume: 67, Pages: 1891 - 1918
Swansea University Author: Evi Tzika
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Author accepted manuscript document released under the terms of a Creative Commons CC-BY licence using the Swansea University Research Publications Policy (rights retention).
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DOI (Published version): 10.1007/s00181-024-02614-y
Abstract
This paper focuses on financial asset return spillovers and economic policy uncertainty spillovers in three continents (Europe, America, and Asia) in the last few decades. We examine three financial asset markets (stock, bond, and foreign exchange). Spillovers are measured using the Diebold–Yilmaz s...
| Published in: | Empirical Economics |
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| ISSN: | 0377-7332 1435-8921 |
| Published: |
Springer Science and Business Media LLC
2024
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa66878 |
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| Abstract: |
This paper focuses on financial asset return spillovers and economic policy uncertainty spillovers in three continents (Europe, America, and Asia) in the last few decades. We examine three financial asset markets (stock, bond, and foreign exchange). Spillovers are measured using the Diebold–Yilmaz spillover index. In the first part, we measure the size of spillovers and find a significant increase in spillovers during the global financial crisis, the European sovereign crisis, and the recent pandemic. In the second part, we test for the effect of uncertainty spillovers on financial asset return spillovers. Using rolling impulse response functions, we obtain the following results: First, the responses of financial markets spillovers to uncertainty spillovers are time-varying and aremostly positive. Second, the highest responses in financial market return spillovers to uncertainty spillovers occur in America and the smallest responses in financial market return spillovers occur in Europe. Third, among the three financial markets, thehighest responses apply to the foreign exchange market. Finally, the largest responses during the pandemic apply in Europe. |
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| Keywords: |
Economic policy uncertainty, rolling impulse responses, uncertainty spillovers, financial asset market return spillovers |
| College: |
Faculty of Humanities and Social Sciences |
| Funders: |
This research is funded by the University of Macedonia Research Committee as part of the Principal Research 2021 funding program. |
| Start Page: |
1891 |
| End Page: |
1918 |