Contagious uncertainty: how corporate credit risk in the United States and Europe drives (and is driven by) uncertainty in main asset classes

Publikation: Vorabdruck/Dokumentation/BerichtVorabdruck (Preprint)

Abstract

This study investigates the dynamic transmission of implied volatility across the main asset classes and between the U.S. and European markets. By incorporating the new Credit VIX indices, we identify uncertainty about corporate credit risk pertaining to U.S. investment-grade entities alongside the stock market indices as the main drivers of market shocks. In contrast, the indices for bonds, energy commodities, exchange rates, and precious metals
generally act as net receivers of shocks.

Details

OriginalspracheDeutsch
Seitenumfang16
PublikationsstatusVeröffentlicht - 30 Dez. 2023
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