Asymmetric Volatility Spillovers in Major Global Financial Markets Amid the COVID-19 Pandemic
This paper employs the Time-Varying Parameter Vector Autoregression(TVP-VAR)method to study the total volatility spillover effects across nine critical financial markets impacted by the COVID-19 pandemic.These markets include crude oil,natural gas,emerging and developed country stocks,industrial metals,precious metals,cryptocurrencies,agricultural products,and foreign exchange markets.The study examines the roles and pairwise relationships of these markets during and af-ter the pandemic.The findings indicate that the system's overall shock reached its peak at the onset of the pandemic and decreased over time.Notably,the pairwise volatility spillover analysis shows significant changes in risk contagion among the mar-kets compared to the period before the pandemic.Specifically,the crude oil market shifted from a net spillover to a net receiver of volatility;the cryptocurrency market transitioned from a less significant role to a major net spreader of risk,whereas the agricultural products market was minimally affected by the pandemic.
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