Spillover dynamics effects between risk-neutral equity and Treasury volatilities
نویسندگان
چکیده
Abstract Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total directional connectedness, in sense of spillover effects, volatilities from markets. addition, analyze economic monetary drivers dynamics. Most time, but especially during bad times, find significant net spillovers to volatility. The channel arises mainly through government fixed income market.
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ژورنال
عنوان ژورنال: Series
سال: 2022
ISSN: ['1869-4195', '1869-4187']
DOI: https://doi.org/10.1007/s13209-022-00264-w