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首页> 外文期刊>International Review of Financial Analysis >Return connectedness across asset classes around the COVID-19 outbreak
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Return connectedness across asset classes around the COVID-19 outbreak

机译：在Covid-19爆发周围跨越资产类别返回连接

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摘要

In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 outbreak. Using the TVP-VAR connectedness approach, the results show that the dynamic total connectedness across the five assets was moderate and quite stable until early 2020. After that, the total connectedness spikes and the structure of the network of connectedness alters, which concurs with the COVID-19 outbreak. The equity and USD indices are the primary transmitters of shocks before the outbreak, whereas the bond index becomes the main transmitters of shocks during the COVID-19 outbreak. However, the USD index is a net receiver of shocks to other assets during the outbreak period. Furthermore, using a recently developed newspaper-based index of uncertainty in financial markets due to infectious diseases to capture the recent impact of COVID-19, we find that connectedness is positively related to this index, and increases at higher levels (conditional quantiles) of connectedness. Overall, our results reflect the speedy disturbing effects of the COVID-19 outbreak, which matters to the formulations of policies seeking to achieve financial stability. The results also indicate a possibility to threaten investors' portfolios and fade the benefits of diversification.
机译：在本文中，我们展示了在Covid-19爆发周围各种资产（黄金，原油，世界股票，货币和债券的返回连通性结构和时变模式的戏剧性变化的证据。使用TVP-var Connectionness度方法，结果表明，这五个资产的动态总关联度在2020年代初期且相当稳定。之后，总结尖峰和连通改变网络的结构，这种情况2019冠状病毒病暴发。股权和美元指数是爆发前震动的主要发射机，而债券指数成为Covid-19爆发期间震动的主要变送器。但是，USD指数是爆发期间对其他资产的净接收方。此外，由于传染病，在金融市场中使用最近发达的基于报纸的不确定性指数，以捕捉到Covid-19的最新影响，我们发现关联与该指数呈正相关，并在更高的水平下增加（条件量数）关联。总体而言，我们的结果反映了Covid-19爆发的快速令人不安的影响，这对寻求实现金融稳定的政策制定至关重要。结果还表明可能威胁投资者的投资组合，并淡化多样化的好处。

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