{"title":"美国国债收益率曲线利差、美元和黄金价格的量子对量子关联度测量方法","authors":"Mei-Chih Wang , Tsangyao Chang , Alexey Mikhaylov , Jia Linyu","doi":"10.1016/j.najef.2024.102232","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8000,"publicationDate":"2024-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price\",\"authors\":\"Mei-Chih Wang , Tsangyao Chang , Alexey Mikhaylov , Jia Linyu\",\"doi\":\"10.1016/j.najef.2024.102232\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2024-06-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940824001578\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940824001578","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price
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.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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