地缘政治风险以及外汇市场、商品市场和股票市场之间溢出效应的可预测性

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2024-03-04 DOI:10.1016/j.mulfin.2024.100843
Xinlei Hao , Yong Ma , Dongtao Pan
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引用次数: 0

摘要

我们利用交叉量表法来评估地缘政治风险对时变参数向量自回归模型计算出的波动溢出效应的预测能力。研究结果提出了三个值得注意的观点:首先,我们确定了 GPR 对净波动溢出效应和净成对波动溢出效应的方向性预测影响,表明特定市场和传导途径的风险角色发生了明显转变。其次,GPR 所预期的这些转变在一天内迅速显现,并在一个季度内消退,尽管持续时间因市场类别和传导途径而异。第三,地缘政治行为和地缘政治威胁的预测效果存在明显差异。即使考虑到经济政策不确定性、替代代用指标和其他溢出效应模型等因素,这些发现仍然是有力的。
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Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets

We utilize the cross-quantilogram method to assess the predictive capacity of geopolitical risk (GPR) on volatility spillovers calculated by the time-varying parameter vector autoregressive model, across international commodity, exchange, and U.S. and Chinese stock markets. The findings yield three notable observations: First, we establish the directional predictive influence of GPR on net and net pairwise volatility spillovers, indicating discernible shifts in the risk roles of specific markets and transmission pathways. Second, these shifts, anticipated by GPR, manifest swiftly within a single day and subside within a quarter, albeit with varying durations contingent on market categories and transmission pathways. Third, disparities are evident in the predictive effectiveness of geopolitical acts and geopolitical threats. These findings remain robust even when considering factors such as economic policy uncertainty, alternative proxies, and other spillover models.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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