Contagious Uncertainty: Implied Volatility Spillover Effects between the Credit VIX Indices and main Asset Classes in North America and Europe

Research output: Preprint/Documentation/Report › 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

Original languageGerman
Number of pages16
Publication statusPublished - 30 Dec 2023
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Keywords