Risk spillovers between S&P۵۰۰, green bond, real estate, oil market and dollar index

One of the main concepts in finance is portfolio diversification and optimization. Typically, investors use the risk and return approach to diversify their portfolio, but risk spillovers and market connectivity should also be taken into account when making investment decisions, especially during times of crisis. The TVP-VAR approach is used in this study to analyze risk spillovers and connectivity between the S&P ۵۰۰ index, green bond, real estate, oil market, and dollar index in the USA from ۲۰۱۶ to July ۲۰۲۲. The TVP-VAR model is regarded as a time-varying model that may take into account current political and economic circumstances. As a result, investors can choose wisely when it comes to their portfolios. The S&P ۵۰۰ index and the real estate market are the two biggest sources of volatility in the system, according to comparisons with other markets. In fact, they not only transmit greater volatility, but they also take it in more. After ۲۰۲۰, there will likely be a large increase in the volatility of the real estate market and the S&P ۵۰۰ index, maybe as a result of the COVID-۱۹ epidemic. Additionally, as anticipated, other markets have an impact on the green bond market. It does not, however, transmit them.

کلیدواژه ها:

Risk transfer ، TVP-VAR ، Financial Markets