A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price

被引：14

作者：

Wang, Mei-Chih ^{[1
]}

Chang, Tsangyao ^{[2
]}

Mikhaylov, Alexey ^{[3
,5
]}

Linyu, Jia ^{[4
]}

机构：

[1] Wuchang Univ Technol, Sch Business, Dept Investment, Wuhan, Peoples R China

[2] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[3] Financial Univ Govt Russian Federat, Moscow, Russia

[4] Zhejiang Gongshang Univ, East Asian Inst, Hangzhou, Peoples R China

[5] Western Caspian Univ, Baku, Azerbaijan

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2024年 / 74卷

关键词：

Quantile-on-quantile connectedness; Financial market dynamics; Quantile spillovers; Yield curve spread analysis; COVID-19 pandemic economic impact; Monetary policy implications; Time-varying market interconnectedness; MONETARY-POLICY;

D O I：

10.1016/j.najef.2024.102232

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study applies the Quantile-on-Quantile Connectedness approach to analyze quantile spillovers between the US yield curve spread (10-year vs. 2-year Treasury yields), the US dollar, and gold price from 2 January 2000 to 31 July 2023, covering the COVID-19 pandemic. Our results show that inversely related quantiles demonstrate significantly higher average total connectedness than directly related quantiles among these variables. Additionally, we found that this quantile-based connectedness fluctuates over time, suggesting a dynamic and varied relationship between the US yield spread, the US dollar, and gold prices throughout the period studied.

引用

页数：16

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