Scholarlink

<p>This study examines the dynamic quantile and time-frequency connectedness among the US yield curve spread (T10Y3M), Bitcoin, G7 equity indices, and commodities (gold, oil, wheat, and gas) across recent health (COVID-19) and geopolitical (Russia-Ukraine) crises. Beyond the existing literature, we address a critical gap by integrating a key macroeconomic indicator (T10Y3M) into a frequency connectedness framework. Using daily data from January 2016 to September 2025, we implement a three-pronged econometric model: a Time-Varying Parameter VAR (TVP-VAR), a Quantile Vector Autoregression (QVAR), and a Quantile Time-Frequency Connectedness. The analysis captures how directional spillovers evolve under different market regimes, quantile extremes and investment horizons. Our results reveal that total connectedness surges during crises, reflecting systemic contagion and a collapse in diversification benefits. G7 stock markets (except Nikkei) are the primary net transmitters of shocks, while Bitcoin and commodities are predominantly net receivers. Crucially, the T10Y3M acts mostly as a net receiver of financial stress but exhibits a dual nature, transmitting volatility in the short term while absorbing it in the long term. T10Y3M functions as a macro-financial barometer, indicating the shift from expansion to recession and helping investors in rebalancing their portfolios to avert potential of losses. Gas shift from the most net receiver in war to the leading transmitter in the stability period, revealing the energy sector’s increased vulnerability to geopolitical tensions. It requires closely monitoring. Commodities show a feeble internal connectedness, allowing for diversification within the sector. Short-term spillover effects are prevalent, indicating quick but fleeting contagion impacts, while long-term connectedness remains limited. These findings underscore the necessity for adaptive and strategic portfolio during crises. This research provides novel insights by combining quantile and frequency-based methods to identify asset-specific roles under stress, yielding practical implications for risk management and investment strategies.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Market-specific connectedness behaviors across quantiles and frequencies connectedness patterns among G7 markets, commodities, bitcoin, and interest rate spread

  • 期刊论文

  • 发表日期：

    2026年1月14日

查看全文
  • Olfa El Aoun

摘要

This study examines the dynamic quantile and time-frequency connectedness among the US yield curve spread (T10Y3M), Bitcoin, G7 equity indices, and commodities (gold, oil, wheat, and gas) across recent health (COVID-19) and geopolitical (Russia-Ukraine) crises. Beyond the existing literature, we address a critical gap by integrating a key macroeconomic indicator (T10Y3M) into a frequency connectedness framework. Using daily data from January 2016 to September 2025, we implement a three-pronged econometric model: a Time-Varying Parameter VAR (TVP-VAR), a Quantile Vector Autoregression (QVAR), and a Quantile Time-Frequency Connectedness. The analysis captures how directional spillovers evolve under different market regimes, quantile extremes and investment horizons. Our results reveal that total connectedness surges during crises, reflecting systemic contagion and a collapse in diversification benefits. G7 stock markets (except Nikkei) are the primary net transmitters of shocks, while Bitcoin and commodities are predominantly net receivers. Crucially, the T10Y3M acts mostly as a net receiver of financial stress but exhibits a dual nature, transmitting volatility in the short term while absorbing it in the long term. T10Y3M functions as a macro-financial barometer, indicating the shift from expansion to recession and helping investors in rebalancing their portfolios to avert potential of losses. Gas shift from the most net receiver in war to the leading transmitter in the stability period, revealing the energy sector’s increased vulnerability to geopolitical tensions. It requires closely monitoring. Commodities show a feeble internal connectedness, allowing for diversification within the sector. Short-term spillover effects are prevalent, indicating quick but fleeting contagion impacts, while long-term connectedness remains limited. These findings underscore the necessity for adaptive and strategic portfolio during crises. This research provides novel insights by combining quantile and frequency-based methods to identify asset-specific roles under stress, yielding practical implications for risk management and investment strategies.