Time-Varying Volatility Connectedness of Asset Markets: Evidence from Century-Long Data

摘要

We employ the framework of (AntonakakisandGabauer, 2017) to study the nature of the volatility transmission among stocks, bonds, oil and gold over the past 100 years (1915-2015). The results indicate that asset market linkages and the role of volatility transmitter or receiver vary considerably over time. We observe a stronger net volatility transmitter of crude oil during the past 100 years and gold acts as a net volatility transmitter only before the 1970s. Moreover, stock is generally the most connected asset with receiving the majority of volatility shocks from all other assets while switches to a volatility transmitter since 2008. In addition, the findings show that the significant changes in the volatility spillovers among asset markets are closely related to the heightened uncertain economic and financial conditions in a long-term perspective.