This paper introduces a novel model to analyze the impact of macroeconomic shocks on volatility spillovers within key financial markets, such as Stock, Bond, Gold and Crude Oil. By treating macroeconomic variables as external factors to financial market volatility, our study distinguishes between internal financial volatility spillovers and external shocks arising from macroeconomic changes. Our analysis reveals that without macroeconomic shocks, the Stock market predominantly acts as the main source of volatility spillovers, with Crude Oil being the principal spillover recipient. However, the Stock market’s role in driving volatility spillover, especially towards the Crude Oil market, changes markedly in the context of macroeconomic shocks. These shocks exert a more substantial impact on Crude Oil compared to other markets. In contrast, the Bond and Gold markets exhibit a lower level of volatility transmission and are less influenced by macroeconomic shocks, thereby reinforcing their roles as stabilizers within the financial system.

中文翻译：

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宏观经济冲击以及股票、债券、黄金和原油市场之间的波动溢出


本文介绍了一种新颖的模型来分析宏观经济冲击对股票、债券、黄金和原油等主要金融市场波动溢出的影响。通过将宏观经济变量视为金融市场波动的外部因素，我们的研究区分了内部金融波动溢出和宏观经济变化引起的外部冲击。我们的分析表明，在没有宏观经济冲击的情况下，股票市场主要是波动溢出的主要来源，而原油是主要的溢出接收者。然而，在宏观经济冲击的背景下，股票市场在推动波动溢出（尤其是原油市场）方面的作用发生了显着变化。与其他市场相比，这些冲击对原油的影响更为重大。相比之下，债券和黄金市场的波动传导水平较低，受宏观经济冲击的影响较小，从而强化了它们作为金融体系稳定器的作用。