Abstract
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of US Treasury bonds, global stock indexes, and commodities. The US stock market is the center of the international volatility spillover network and its volatility spillover to other markets has intensified in the era of quantitative easing. Moreover, we find that US quantitative easing is a primary driver of intensifying spillover from the US to the rest of the world. Our findings highlight the central contribution of US unconventional monetary policy to volatility spillovers and potential systemic risk across the global financial system.
Keywords: volatility spillover; risk neutral volatility; quantitative easing; systemic risk; financial network; structural VAR
JEL Classifications: G01, G15, G32
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