Dynamic Risk Spillovers in Non-Ferrous Metal Future Markets During COVID-19:A Frequency Domain Analysis

During the COVID-19 pandemic,the international financial markets experienced severe turbulence.Under the background of“Made in China 2025”,substantial entity enterprises have a large demand for non-ferrous metals.With the enhancement of financial attributes of non-ferrous metals,it is vital to prevent financial systemic risk contagion in the non-ferrous metal markets.In this article,the ensemble empirical mode decomposition method is used to decompose the prices of eight important non-ferrous metals futures,and then the dynamic DY risk spillover index model is established from the perspectives of long-term and short-term.The risk spillover between non-ferrous metals during the COVID-19 is quantitatively analyzed from different frequency domains.The study finds that in the long run,the risk spillover relationship between non-ferrous metals remained basically stable,and the change of it after the epidemic is slight.In the short run,the risk spillover relationship has different degrees of structural changes after the outbreak of the COVID-19 pandemic.The ensemble empirical mode decomposition method can distinguish the risk spillovers in different cycles,and help to formulate policies for preventing systemic risks in the non-ferrous metal markets according to the different length of terms.

Extreme dependencies and spillovers between gold and stock markets:evidence from MENA countries

This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia.It contributes to the existing literature by(i)revisiting this question for the principal stock markets in the Middle East and North Africa(MENA)region and(ii)using the copula-quantile-on-quantile and conditional value at risk methods to detail the risks facing market participants provided with accurate information about various gold and stock market scenarios(i.e.,bear,normal,bull).The results provide strong evidence of quantile dependence between gold and stock returns.Positive correlations are found between MENA gold and stock markets when both are bullish.Conversely,when stock returns are bearish,gold markets show negative correlations with MENA stock markets.The risk spillover from gold to stock markets intensified during the global financial and European crises.Given the risk spillover between gold and stock markets,investors in MENA markets should be careful when considering gold as a safe haven because its effectiveness as a hedge is not the same in all MENA stock markets.Investors and portfolio managers should rebalance their portfolio compositions under various gold and stock market conditions.Overall,such precise insights about the heterogeneous linkages and spillovers between gold and MENA stock returns provide potential input for developing effective hedging strategies and optimal portfolio allocations.

Research on Systemic Risk Spillover Effect of Chinese Listed Commercial Banks——Based on Quantile CoVaR Model

The banking industry plays an important role in China's financial market, and the systemic risk of the banking industry has astrong risk spillover effect. This paper measures the systemic risk spillover effect of Chinese listed commercial banks byconstructing the quantile CoVaR model. The study concluded that when an extreme risk event occurs, the overall risk spillovereffect of a single bank on the banking system is greater than the risk spillover effect of the banking system on a single bank, thevalue of VaR is smaller than the actual risk value when measuring the risk value of commercial banks and the CoVaR model ismore accurate in measuring systemic risk.

Do Cryptocurrencies In crease the Systemic Risk of the Global Financial Market?

The advance of cryptocurrencies has sparked wide concern over their interplay with the existing global financial market.This paper analyzes the risk spillover relation between cryptocurrencies and major financial assets,and unravels how cryptocurrencies could influence global financial systemic risk.We find that cryptocurrencies function as a separate risk source from traditional assets.Major legislative,financial and technological events in the cryptocurrency market may affect risk spillover dynamics.Although the overall penetration of cryptocurrencies is not yet deep,introducing cryptocurrency can significantly increase the systemic risk to traditional markets during low risk level episodes.

Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover

For evaluating the influence of the Chinese renminbi(RMB) joining in the special drawing right(SDR) basket on RMB's internationalization, the authors systemically study the risk spillover networks and examine the dynamic relationship of exchange rates among the SDR currencies including the US dollar(USD), European Union euro(EUR), Japanese yen(JPY) and British pound(GBP).The empirical results demonstrate that the USD takes a dominant position and holds the biggest risk spillover to other currencies, and the RMB's inclusion to the SDR basket makes the risk spillover to get average, giving rise to the SDR currency system more stable to a certain degree. The inclusion of the RMB in the SDR not only can reduce the systematic risk of the SDR, but also has a certain impact on the international exchange rate markets. Nowadays, in front of the growing trade friction, more such researches could help to effectively deal with the currency disputes.

Pangolin HKU4-related coronaviruses found in greater bamboo bats from southern China

Coronavirus(CoV)spillover originating from game animals,particularly pangolins,is currently a significant concern.Meanwhile,vigilance is urgently needed for coronaviruses carried by bats,which are known as natural reservoirs of many coronaviruses.In this study,we collected 729 anal swabs of 20 different bat species from nine locations in Yunnan and Guangdong provinces,southern China,in 2016 and 2017,and described the molecular characteristics and genetic diversity of alphacoronaviruses(αCoVs)and betacoronaviruses(βCoVs)found in these bats.Using RT-PCR,we identified 58(8.0%)bat CoVs in nine bat species from six locations.Furthermore,using the Illumina platform,we obtained two representative full-length genomes of the bat CoVs,namely TyRo-CoV-162275 and TyRo-CoV-162269.Sequence analysis showed that TyRo-CoV-162275 shared the highest identity with Malayan pangolin(Manis javanica)HKU4-related coronaviruses(MjHKU4r-CoVs)from Guangxi Province,whereas TyRo-CoV-162269 was closely related to HKU33-CoV discovered in a greater bamboo bat(Tylonycteris robustula)from Guizhou Province.Notably,TyRo-CoV-162275 has a putative furin protease cleavage site in its S protein and is likely to utilize human dipeptidyl peptidase-4(hDPP4)as a cell-entry receptor,similar to MERSCoV.To the best of our knowledge,this is the first report of a bat HKU4r-CoV strain containing a furin protease cleavage site.These findings expand our understanding of coronavirus geographic and host distributions.