Tessmann, Ma hias Schneid; Passos, Ma celo de Oli ei a; Khod , Oma Ba oso;
Lima, Alexand e Vasconcelos; Fon ana, Ped o Hen ique Pon es
A icle
Iden i ying he equency and connec i i y dynamics o he
US economy
Economies
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Sugges ed Ci a ion: Tessmann, Ma hias Schneid; Passos, Ma celo de Oli ei a; Khod , Oma Ba oso;
Lima, Alexand e Vasconcelos; Fon ana, Ped o Hen ique Pon es (2024) : Iden i ying he equency
and connec i i y dynamics o he US economy, Economies, ISSN 2227-7099, MDPI, Basel, Vol. 12,
Iss. 6, pp. 1-20,
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Ci a ion: Tessmann, Ma hias Schneid,
Ma celo De Oli ei a Passos, Oma
Ba oso Khod , Alexand e
Vasconcelos Lima, and Ped o
Hen ique Pon es Fon ana. 2024.
Iden i ying he F equency and
Connec i i y Dynamics o he US
Economy. Economies 12: 149.
h ps://doi.o g/10.3390/
economies12060149
Academic Edi o : Robe Czudaj
Recei ed: 16 Janua y 2024
Re ised: 6 Ma ch 2024
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Published: 12 June 2024
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economies
A icle
Iden i ying he F equency and Connec i i y Dynamics o he
US Economy
Ma hias Schneid Tessmann 1,*, Ma celo De Oli ei a Passos 2, Oma Ba oso Khod 3,
Alexand e Vasconcelos Lima 1and Ped o Hen ique Pon es Fon ana 1
1Economics and Managemen School, B azilian Ins i u e o Educa ion De elopmen and Resea ch (IDP),
B asília 70750-600, DF, B azil; alexand [email p o ec ed] (A.V.L.); [email p o ec ed] (P.H.P.F.)
2
O ganiza ions and Ma ke s G adua e P og am, Uni e sidade Fede al de Pelo as, Pelo as 96010-610, RS, B azil;
[email p o ec ed]
3Essex Business School, Uni e si y o Essex, Colches e C04 3SQ, UK; khod .oma [email p o ec ed]
*Co espondence: [email p o ec ed]
Abs ac : This pape seeks o in es iga e he connec i i y o he US economy h ough he dynamics
o he ansmission o ola ili y in sec o al indices. Fo his, we use daily asse da a and wo
me hodologies. The i s c ea es a spillo e index ha measu es ma ke connec i i y and he second
pa i ions his index in o di e en equency bands ha deno e pe iods. We ound esul s ha show
signi ican ansmissions o ola ili y among he 64 analyzed asse s. No ably, he DJIA, Wilshi e 5000,
and S&P 500 showed signi ican ola ili y and we e he main d i e s o ola ili y o he o he sec o s
and indices. Resul s also indica ed ha sec o s ha ans e ed ola ili y we e in luenced by h ee
key ac o s: pe iods o economic unce ain y, socioeconomic ci cums ances esul ing om pos -c isis
e en s, and he impac o economic and inancial news on ma ke sen imen . Addi ionally, we ound
ha global e u ns and p ice changes in ma ke indices sen conside able ola ili y in o commodi y
asse s. Ou esul s a e po en ially use ul o in es o s, po olio manage s, inancial economis s,
inancial ad iso s, inancial ma ke egula o s, and policymake s.
Keywo ds: ola ili y ansmission; spillo e index; equency decomposi ion; pos -c isis ola ili y
JEL Classi ica ion: E30; E44; G01; G10
1. In oduc ion
Vola ili y epe cussions, in he iew o Chan e al. (1991), can be seen as p oxies o
assessmen s o he in ensi y and quali y o economic and inancial in o ma ion lows. In
his sense, i is a common p ac ice in inancial ma ke s o analyze how in o ma ion and
i s consequen ola ili y ansmissions low om one asse o ano he , om one sec o o
ano he , o e en om one ma ke o ano he . Such analyses a e use ul o inancial ma ke
egula o s, policymake s, ac i a ing ci cui -b eake s on s ock exchanges, analys s and
in es men manage s, in es o s, hedge s, ade s, and commodi y p oduce s. Assessing
he exis ing connec ions in an economy and i s in e sec o al ela ionships is an impo an
con ibu ion ha empi ical economics can b ing because, h ough hese iden i ica ions,
measu es o mi iga e sys emic isks can be aken.
Likewise, one o he mos ecu en esea ch opics in he ield o inancial economics
is he e i ica ion o he exis ence o links ha may exis be ween inancial and non-
inancial asse s aded in he ma ke . Thus, p esen ing empi ical e idence o how ma ke s
in e ac and how hei asse s eac o changes in expec a ions and mac oeconomic a ia ions
makes he measu emen o ola ili y ansmissions and in e dependencies be ween sec o al
inancial asse s impo an .
In his sense, we in end o in es iga e he pa e ns and dynamics o he ansmission
o ola ili y in a se ies o sec o al asse s o he US economy, including he main indices o
Economies 2024,12, 149. h ps://doi.o g/10.3390/economies12060149 h ps://www.mdpi.com/jou nal/economies
Economies 2024,12, 149 2 o 20
he US s ock ma ke , he Selec Sec o SPDR index unds, he Commodi y Resea ch Bu eau
index, and he p ices o WTI and B en oil, as well as US T easu y bond e u ns. Ou s udy
co e s a pe iod om 22 Decembe 1998 o 12 July 2021, p o iding a da ase o 5547 p ice
obse a ions o each asse .
The e o e, we use wo econome ic me hodologies in his pape : he spillo e index
p oposed by Diebold and Yilmaz (2012) and he equency decomposi ions me hod o
Ba uník and K ehlík(2018). The i s me hod measu es in e ac ions and in e dependencies
based on he decomposi ion o a iances, which allowed us o quan i y he ex en o
ola ili y ansmission and de e mine o e all ma ke connec i i y. The second de ails hese
in e ac ions and connec i i y ela ionships ac oss di e en equency bands, which helped
us in he sepa a e analysis o sho - e m and long- e m dynamics.
Wi h he spillo e indices, we pa i ioned hei e ec s in o h ee di e en equencies:
o e nigh (1 day), e y sho e m (1 o 4 days), sho e m (4 o 30 days), and medium/long
e m (mo e han 30 days), which p o ided us wi h in o ma ion abou equency band
dependen connec ions. This highligh ed he s eng h o he shocks in hese di e en
pe iods ha , wi hou his me hodology, could be neglec ed; ha is, mo e p ecise e idence
ha conside s he e ec s o e ime would be absen .
When we examine he esul s, we see a pa e n ha indica es ha ola ili y ansmis-
sions we e signi ican ac oss he 64 included asse s. No ably, he DJIA, Wilshi e 5000, and
S&P 500 exhibi ed high le els o ola ili y and unc ioned as signi ican ola ili y ans-
mi e s o a ious sec o s and ma ke indices. Speci ically, he anspo , ene gy, heal h,
indus ial, and echnology sec o s s ood ou as he mos exposed o ola ili y ansmissions.
The same happened wi h he main ma ke indices, such as he S&P 500, Nasdaq, and
Wilshi e 5000.
Se e al wo ks deal wi h he epe cussions o ola ili y, such as Nazlioglu e al. (2013),
who examined ola ili y ansmissions be ween oil and ag icul u al commodi y e u ns in
p e-c isis and pos -c isis pe iods. The au ho s ound dis inc pa e ns and a ia ions be-
ween he wo pe iods. The esea ch by Ba unik e al. (2015) in es iga ed he asymme ies
in he epe cussions be ween di e en sec o s, inding esul s o he consume , elecom-
munica ion, and heal h sec o s ha p esen ed g ea e asymme ies in he epe cussions
when compa ed o he inancial, in o ma ion echnology, and ene gy sec o s. F om he
pe spec i e o Mensi e al. (2021), he e is e idence ha he diesel and gas sec o s we e ne
ansmi e s o ola ili y o o he ma ke s since asymme ic epe cussions occu ed.
Ou indings sugges ha he sec o s ha eco ded he mos in ense ola ili y ans-
missions we e hose in luenced by h ee ac o s. Fi s , ci cums ances a ising om economic
ins abili y, unce ain y, and pos -c isis ac o s (global inancial c isis, Eu opean c isis, and
COVID-19 pandemic). Second, inancial news a ec ed “ma ke sen imen ” and, in e ec ,
inc eased he epe cussions o ola ili y in he asse s and sec o s conside ed. Thi d, e u ns
and changes in ma ke index p ices p o oked eac ions in aw ma e ial asse s.
Thus, by making some pa e ns o connec i i y and in e dependence explici , we
belie e we p o ide a less dis o ed iew o he dynamics o in e ac ions be ween asse s,
indices, and sec o s, which, we hope, can be use ul o policymake s in he inance and
design o policies o inancial ma ke s ha mi iga e sys emic isk and p omo e ma ke s a-
bili y, o in es o s and po olio manage s, as well as o he gene al popula ion bene i ing
om economic s abili y.
The pape is s uc u ed in ou mo e sec ions. The second sec ion p o ides a b ie
heo e ical e e ence abou he sec o al connec i i y o he economy, and in Sec ion 3, we
de ine he da abase, de ailing i s elabo a ion p ocess, as well as he me hodology used in
he empi ical analysis. In Sec ion 4, we p esen and discuss he esul s, and in Sec ion 5, we
make he inal conside a ions.
2. Re iew o Empi ical Li e a u e
Se e al au ho s also poin ou ha he ci cums ances b ough abou by he pos -c isis
pe iods in luenced ola ili y ansmissions and connec i i y e ec s (Cos a e al. 2022;Uma
Economies 2024,12, 149 3 o 20
e al. 2021;Bou i e al. 2017;Va da e al. 2018). The li e a u e also explo ed he di ec
and indi ec impac s ha inancial news had on in a- and c oss-sec o ola ili y (Hassan
and Malik 2007;Malik and Ewing 2009) ac oss selec ed sec o s and asse s and a di e en
equencies. In his sense, ou pu pose is, in addi ion o wha has al eady been men ioned,
o con ibu e o he unde s anding o some aspec s no di ec ly measu able (some o a
quali a i e na u e) ha in luence he ola ili y links be ween and inside asse s and sec o s.
Ewing e al. (2002) calcula ed he ansmission o ola ili y be ween he oil and
na u al gas ma ke s om a sample o daily e u ns da a. They p oduced e idence ha
sugges ed con inued ola ili y in bo h ma ke s. The e o e, hey ound ha e u ns exhibi ed
luc ua ions o e ime in he ola ili y se ies. They sugges ed ha ola ili y in na u al gas
e u ns was mo e pe sis en han ha in oil e u ns, s a ing ha his may indica e a g ea e “window
o p o i oppo uni ies” o in es o s in na u al gas han in oil.
Hughes e al. (2006) empi ically es ed he ola ili y pa e ns o Ame ican T easu y
bonds (T easu y bills o T-bills) be ween Janua y 1983 and Decembe 2000. They analyzed
he daily e u ns o bonds wi h di e en ma u i ies o 13; 26; and 52 weeks, examining
ading pe iods s a ing om he i s hal hou o ac i e New Yo k ading, which begins
a 8:30 a.m. and p oceeds un il he close a 4 p.m., as well as he o e nigh pe iod las ing
om 4 p.m. o 9 a.m. (on he nex day o nego ia ions). Acco ding o he au ho s, he nigh
pe iod includes he ola ili y e ec o ele an mac oeconomic announcemen s ha ake
place un il 8:30 a.m. The au ho s in es iga ed a ia ions in s anda d de ia ions e e y 1 h
h oughou he day. The esul s o he di e en bonds (wi h and wi hou coupons) sugges ha
he in aday ola ili y o 13-week bonds was highe compa ed o bonds ma u ing in 26 and 52 weeks.
Fo hem, in p ac ical e ms, he e is no daily opening and closing day in ading
sessions. This dynamic wo ks acco ding o local (o domes ic) ading compa ed o global
ading, which ope a es 24 h a day. In New Yo k, ola ili y was concen a ed a he
beginning and end o T easu y bond ading hou s. The li e a u e also sugges s simila
pa ame e s, p esen ed by Cy ee e al. (2014) and Baillie and Bolle sle (1991), who conclude
ha empi ical esul s in he 24-h o eign exchange ma ke s and he 24-h Eu odolla ma ke
con i m ha ola ili y is g ea es a he beginning and end o he wo kday, e en in he
absence o ma ke closing.
Hassan and Malik (2007) in es iga ed ola ili y epe cussions and shocks among he
main sec o al indices in he Uni ed S a es, based on daily da a om 1 Janua y 1992 o
6 June 2005
. The sec o s in es iga ed we e inancial, indus ial, consume , heal h, ene gy,
and echnology. In a b oad sense, bo h au ho s achie ed esul s ha show signi ican
occu ences among he second momen s o hese indices. They concluded ha he e is a ansmission
o ele an shocks and ola ili y be ween all he men ioned sec o s.
Kumiega e al. (2011) s udied he ac o s ha inc eased he e u ns on he US s ock
ma ke s in 2007 and ea ly 2010. This pe iod p esen ed speci ic ends in he p ices o ene gy
and aw ma e ials, in addi ion o indica ions ha i was a ec ed by he c isis o impo an
ins i u ions’ inancial and insu ance condi ions, in addi ion o high ola ili y ollowed
by he esump ion o ac i i y in he global ma ke . The au ho s de eloped an opinion
ega ding he e u ns on ETFs in he S&P 500 sec o wi h s a is ically independen signals
and used he independen componen analysis me hod, concluding ha he e we e wo
se s o o e all ma ke be as du ing he pe iod, combined wi h a dominan ac o o he
ene gy and ma e ials sec o .
They also demons a ed ha he EGARCH model, which deals wi h asymme ic
esponses be ween e u ns and ola ili y, adjus ed o signi ican le els o a iance du ing
an in e na ional inancial c isis. They ound ha he es ima ed co ela ions educed g ea ly
when aw ma e ial p ices ose. Howe e , hey ose sha ply again a e he all o he S&P
500, in he las mon hs o 2008. Finally, he au ho s ound ha he h ee main ac o s we e a
ac o o ene gy and ma e ials, ano he s ock ma ke s anda d, and a ac o domina ed by inance.
Nazlioglu e al. (2013) es ima ed he ola ili y connec ions p esen be ween oil p ices
and he p ices o some speci ic ag icul u al commodi ies (whea , co n, soybeans, and
suga ). They used he ecen ly de eloped causali y-in- a iance es and compu ed impulse
Economies 2024,12, 149 4 o 20
esponse unc ions wi hin a sample wi h daily obse a ions om 1 Janua y 1986 o 21 Ma ch
2011. By iden i ying he e ec o he shock o he c isis on ood p ices, hey sepa a ed
he obse a ions in o wo subsamples: he pe iod be o e he shock (1 Janua y 1986 o
31 Decembe 2005) and he pe iod a e (1 Janua y 2006 o 21 Ma ch 2011).
The a iance causali y es concluded ha he ola ili y o he oil ma ke ex ends o
ag icul u al ma ke s—excluding he suga ma ke —in he pos -shock pe iod, e en hough
he e was no isk connec i i y be ween oil and ag icul u al p oduc s in he p e-shock
pe iod. Rega ding he impulse esponse unc ions, hey also showed ha a shock in oil
p ice ola ili y had epe cussions on ag icul u al ma ke s only in he pe iod a e he
shock. Wi h his, he au ho s concluded ha he e is a ansi ion in he dynamics o ola ili y
ansmission a e a ood p ice shock when ola ili y ansmission eme ges di e en ly in he isk
in e connec ions be ween ene gy and ag icul u al ma ke s.
Bou i e al. (2017) examined he e ec s o commodi y ola ili y on so e eign c edi
de aul swap (CDS) sp eads in eme ging and on ie ma ke s, based on a sample o
daily obse a ions om se en een eme ging coun ies and six on ie coun ies. They
documen ed a ele an ansmission o ola ili y om commodi y ma ke s o so e eign
CDS sp eads in bo h eme ging and on ie ma ke s. Despi e inding a signi ican e ec
o mos coun ies in ha sample, he au ho s ound ha hei esul s a y o e ime and
depending on he coun y. They also ound e idence o a g ea e ansmission e ec o ola ili y
om he ene gy and p ecious me als sec o s.
Va da e al. (2018) used a VAR-BEKK GARCH model o s udy he shock ansmission
and ola ili y spillo e (STVS) e ec s among daily s ock ma ke indices om he US, he
UK, F ance, Ge many, Japan, Tu key, China, Sou h Ko ea, Sou h A ica, and India. The
i e mos ele an aw ma e ial p ices we e added o hese indices: na u al gas, c ude oil,
pla inum, gold, and sil e . The pe iod analyzed was om 5 July 2005 o 14 Oc obe 2016.
Thus, he mon hs be o e, du ing, and a e he c isis ha led o he G ea Recession we e
examined. In he sample pe iod, de eloped and eme ging coun ies exhibi ed bidi ec ional
STVS e ec s be ween s ock and commodi y e u ns.
Howe e , he au ho s concluded ha he e we e less unila e al e ec s o he STVS
p esen in commodi y e u ns on s ocks, bu also clea unila e al e ec s o he STVS o
s ock e u ns on commodi y e u ns, in bo h de eloped and eme ging coun ies. They also
disco e ed o he ins ances o ele an STVS e ec s ac oss commodi y and s ock ma ke s ac oss
coun ies du ing he c isis and pos -c isis pe iods is-à- is he p e-c isis pe iod. The au ho s s a ed
ha he e ec s o he STVS a e he new no mal o s ock and commodi y ma ke s, despi e he wo k
o mone a y au ho i ies in he pos -global c isis pe iod. Finally, hey s a ed ha esou ce
alloca ion choices be ween s ocks and commodi ies could be made while conside ing
analyzing he di ec ion o he e ec s o STVS in some s ock/commodi y ma ke s and also
h oughou he economic cycles o he wo ld economy.
Uma e al. (2021) in es iga ed he epe cussions o ola ili y in shocks in oil and ag icul-
u al commodi y p ices. Using a sample s a ing om Janua y 2002 and p oceeding o July
2020, ha is, wi hin a pe iod co e ing he global inancial c isis, he Eu opean so e eign
deb c isis, and he COVID-19 pandemic, he au ho s an G ange –Newbold causali y es s
and compu ed s a ic and dynamic connec ion indices, p oducing e idence ha indica es ha
oil p ice shocks we e caused, in he G ange –Newbold sense, by changes in he p ices o g ains, li e
ca le, and whea . The G ange supply shock causes a ia ions in g ain p ices. The au ho s
also highligh ed ha li es ock was he la ges ansmi e and lean po k was he la ges
ecei e , whe he o p ice o ola ili y connec i i y and based on a s a ic connec ion ap-
p oach. Howe e , conside ing he dynamic pe spec i e, hey concluded ha he connec ion
inc eased du ing he pe iod o he inancial c isis.
Fa id e al. (2021) s udied he ex an e and ex pos pe iods o he COVID-19 ou b eak in
he US economy, ocusing on c i ical s uc u al changes and a iable pa e ns o ola ili y
connec i i y be ween s ocks and me al and ene gy commodi ies such as oil, gold, sil e ,
and na u al gas. They in es iga ed 5-min high- equency ading da a om he mos aded
US ETFs o model a ola ili y connec i i y ne wo k, compu ing in aday ola ili y es ima es
Economies 2024,12, 149 5 o 20
using he MCS-GARCH model. A e his p ocedu e, hey adop ed he Diebold and Yilmaz
(2012) index me hodology o measu e ola ili y ansmissions among inancial ma ke s.
The au ho s concluded ha he e was a signi ican impac o he COVID-19 pandemic on
he a o emen ioned connec ions among inancial ma ke s. Vola ili y epe cussions among
di e en asse s eached a peak du ing he mos c i ical momen s o he pandemic.
Mensi e al. (2021) es ima ed he dynamic connec i i y o asymme ic ola ili y among
en US s ock sec o s (consume goods, consume se ices, inance, heal hca e, ma e ials,
oil and gas, echnology, elecommunica ions, eal es a e in es men us s (REITs), and
u ili ies). They also adop ed he indices o Diebold and Yilmaz (2012,2014) and he ealized
semi a iances in oduced by Ba uník e al. (2017) o i e-minu e da a. The au ho s
ound a iable epe cussions o e ime in he sec o s ha a e pa o he US s ock ma ke s. Such
epe cussions we e mo e in ense when signi ican economic, ene gy, and geopoli ical
e en s occu ed.
Fu he mo e, he epe cussions o bad ola ili y end o p edomina e o e he epe -
cussions o good ola ili y. This suppo s he e idence o asymme ic ola ili ies. Financials,
ma e ials, oil and gas, REITs, echnology, elecommunica ions, and u ili ies we e ne ecipien s o
good ola ili y (posi i e semi a iance) ansmissions. On he o he hand, oil and gas ansmi ed
bad ola ili y (nega i e semi a iance), wi h he connec i i y ne wo k among sec o s showing
asymme ic beha io .
Cos a e al. (2022) analyzed ola ili y ansmissions in ol ing 11 sec o al indices in he
US. Using daily da a om 1 Janua y 2013 o 31 Decembe 2020, he h ee au ho s es ima ed
indices om Diebold and Yilmaz (2009,2012,2014), no icing changes in he deg ees o
connec ions among sec o s and inding speci ically s ylized ac s o sec o s h oughou he
COVID-19 pandemic. This wo k eached se e al conclusions, including he exis ence o a
subs an ial inc ease in o al connec i i y, om he ini ial pe iod o he pandemic un il he end o
July 2020. Fu he mo e, he e we e signi ican changes in connec i i y be ween pai s o sec o s.
3. Me hodology
3.1. Da a
We use daily closing p ices om majo US s ock ma ke indices; Selec Sec o SPDR
index unds (in US dolla s); he Commodi y Resea ch Bu eau index; he u u es ma ke ,
in US dolla s, o con inuous con ac s; con ac s o WTI and B en c ude oil p ices; and,
inally, he US T easu y. The pe iod co e ed is om 22 Decembe 1998 o 12 July 2021,
o aling 5547 p ice obse a ions o each da a ame. Table 1de ails he asse s conside ed,
and Table 2p esen s desc ip i e s a is ics on closing p ices and e u ns.
Table 1. Asse s conside ed.
Numbe
Codes Asse s: Indices, Funds and Bonds Desc ip ion
1 CRB Commodi y Resea ch Bu eau Index
The Commodi y Resea ch Bu eau (CRB) index is
a ep esen a i e indica o o he global
commodi y ma ke s.
2 IRX CBOE 13 Week T easu y Bill Yield Index
Some o he bes -known yield-based op ions
ollow he yields o he mos ecen ly issued
13-week T easu y bills, 5-yea T easu y no es,
10-yea T easu y no es, and 30-yea
T easu y bonds.
3 DGS10 Ma ke Yield on US T easu y Secu i ies a
10-Yea Cons an Ma u i y Quo ed on an in es men basis.
4 DGS2 Ma ke Yield on US T easu y Secu i ies a
2-Yea Cons an Ma u i y Quo ed on an in es men basis.
5 DGS30 Ma ke Yield on US T easu y Secu i ies a
30-Yea Cons an Ma u i y Quo ed on an in es men basis.
Economies 2024,12, 149 6 o 20
Table 1. Con .
Numbe
Codes Asse s: Indices, Funds and Bonds Desc ip ion
6 DGS5 Ma ke Yield on US T easu y Secu i ies a
5-Yea Cons an Ma u i y Quo ed on an in es men basis.
7 XLB Ma e ials Selec Sec o SPDR Fund
Composed o companies in ol ed in such
indus ies as chemicals, cons uc ion ma e ials,
con aine s and packaging, me als and mining,
and pape and o es p oduc s.
8 B en C ude Oil C ude Oil
B en blend is a ligh c ude oil (LCO), hough no
as ligh as Wes Texas In e media e (WTI).
9 WTI C ude Oil C ude Oil Wes Texas In e media e (WTI) c ude oil is a
speci ic g ade o c ude oil.
10 DJIA DJIA—Dow Jones Indus ial A e age An index o 30 blue-chip s ocks o US
indus ial companies.
11 DJTA
DJTA—Dow Jones T anspo a ion A e age
A p ice-weigh ed a e age o 20 anspo a ion
s ocks aded in he Uni ed S a es. In addi ion o
ail oads, he index includes ai lines, ucking,
ma ine anspo a ion, deli e y se ices, and
logis ics companies.
12 DJUA DJUA—Dow Jones U ili y A e age
A Dow Jones index g oup ha acks he
pe o mance o se e al well-es ablished u ili y
companies. DJUA companies mus be US-based
and inco po a ed wi h mos o hei e enues
gene a ed wi hin he US.
13 XLE Ene gy Selec Sec o SPDR Fund
Ene gy companies in his index p ima ily
de elop and p oduce c ude oil and na u al gas,
and p o ide d illing and o he
ene gy- ela ed se ices.
14 XLF S&P Financial Selec Sec o
A wide a ay o di e si ied inancial se ice
i ms, insu ance companies, banks, capi al
ma ke s, and consume inance and h i
companies a e ea u ed in his index.
15 XLV S&P Heal h Ca e Selec Sec o
Companies in his sec o p ima ily include
heal hca e equipmen and supplies, heal hca e
p o ide s and se ices, and bio echnology, and
pha maceu ical indus ies.
16 XLI S&P Indus ial Selec Sec o
Indus ies in his index include ae ospace and
de ense, building p oduc s, cons uc ion and
enginee ing, elec ical equipmen ,
conglome a es, machine y, comme cial se ices
and supplies, ai eigh and logis ics, ai lines,
ma ine, oad and ail, e c.
17 Nasdaq NDQ—Nasdaq Composi e
An index ha measu es he pe o mance o o e
2500 common equi ies lis ed on he Nasdaq
s ock exchange.
18 SPX SPX—S&P 500 Composi e S ock P ice
Index
A capi aliza ion-weigh ed index o 500 s ocks
in ended o be a ep esen a i e sample o leading
companies in majo sec o s o he US economy.
19 XLK S&P Technology Selec Sec o
S ocks p ima ily co e ing p oduc s de eloped
by in e ne so wa e and se ice companies, IT
consul ing se ices, and semiconduc o
equipmen , compu e s, and pe iphe als a e
included in his index.
Economies 2024,12, 149 7 o 20
Table 1. Con .
Numbe
Codes Asse s: Indices, Funds and Bonds Desc ip ion
20 XLU S&P U ili ies Selec Sec o
The u ili ies index p ima ily p o ides companies
ha p oduce, gene a e, ansmi , o dis ibu e
elec ici y o na u al gas.
21 Wilshi e 5000 Wilshi e 5000 To al Ma ke Index An index ha measu es he pe o mance o he
en i e US s ock ma ke .
Sou ce: elabo a ed by au ho s.
Table 2. Desc ip i e s a is ics o he analyzed indices.
Closing P ices Re u ns
Mean S d. De .
Minimum
Maximum Mean
S d. De . Minimum Maximum
S&P 500 1693.2930 747.5181 676.5300 4384.6300 0.0002 0.0124 −0.1277 0.1042
Nasdaq Composi e 3967.5080 2736.3610 1114.1100 14,733.2400 0.0003 0.0160 −0.1315 0.1325
Dow Jones Indus ial
A e age
14,881.2600
6303.3170 6547.0500 34,996.1800 0.0002 0.0118 −0.1384 0.1033
Dow Jones T anspo a ion
A e age 5843.0840 3051.6690 1942.1900 15,943.3000 0.0003 0.0157 −0.1640 0.0896
Dow Jones U ili y A e age 487.3838 181.9854 167.5700 960.8900 0.0002 0.0125 −0.1175 0.1277
Wilshi e 5000 70.1798 41.6704 24.5800 218.3000 0.0003 0.0125 −0.1306 0.0984
Ma e ials Selec Sec o 38.1431 14.3355 16.6300 88.6800 0.0002 0.0154 −0.1325 0.1186
Ene gy Selec Sec o 54.7083 20.3556 19.8000 101.2900 0.0001 0.0185 −0.2249 0.1537
Financial Selec Sec o 20.6623 5.9894 5.0203 38.4700 0.0001 0.0190 −0.1807 0.1524
Indus ial Selec Sec o 43.1685 19.6372 15.3600 105.5300 0.0003 0.0137 −0.1204 0.1013
Technology Selec Sec o 39.6322 26.8948 11.5800 151.3200 0.0003 0.0164 −0.1487 0.1493
Consume S aples Selec
Sec o 35.9272 14.3787 17.8200 71.5200 0.0001 0.0185 −0.2249 0.1537
U ili ies Selec Sec o 38.0688 11.9984 15.2300 70.9800 0.0002 0.0234 −0.2814 0.1277
Heal hca e Selec Sec o 48.9630 26.4922 21.8800 128.9800 0.0003 0.0329 −0.1038 2.5759
Consume Disc e iona y
Selec Sec o 55.7172 36.9693 16.1100 183.7400 0.0005 0.0190 −0.3514 0.1537
30−Yea T easu y Bond 4.0043 1.2482 0.9900 6.7500 −
0.0001
0.0167 −0.2332 0.2569
10−Yea T easu y No e 3.3704 1.4023 0.5200 6.7900 −
0.0001
0.0234 −0.3151 0.3417
5−Yea T easu y No e 2.7563 1.6036 0.1900 6.8300 −
0.0002
0.0329 −0.3567 0.3145
2−Yea T easu y No e 2.1419 1.8238 0.0900 6.9300 −
0.0004
0.0465 −0.3514 0.3483
13−Week T easu y Bill 1.6575 1.8286 −0.1050 6.2200 −
0.0011
0.2473 −4.0073 2.5759
WTI C ude Oil 58.9245 26.7146 −36.9800 145.1600 0.0005 0.0274 −0.2814 0.4258
B en C ude Oil 61.4961 30.3102 9.1200 143.6800 0.0005 0.0254 −0.2564 0.4120
Commodi y Resea ch
Bu eau Index 240.2832 70.1056 106.2929 473.5200 0.0001 0.0109 −0.0794 0.0742
Sou ce: elabo a ed by he au ho s.
3.2. Diebold–Yilmaz Me hod
As p esen ed in Tessmann e al. (2021), he Diebold and Yilmaz (2012) me hod uses a
a iance decomposi ion associa ed wi h au o eg essi e ec o s, VAR, es ima ed using he
Economies 2024,12, 149 8 o 20
Akaike c i e ion o lag selec ion. To calcula e he o al spillo e index, he decomposi ion
o he e o a iance is es ima ed H s eps o wa d by θg
ij(H):
Sg(H)=
∑N
i,j=0
i=j
ϑg
ij(H)
∑N
i,j=1ϑg
ij(H)100 =
∑N
i,j=1
i=j
ϑg
ij(H)
N100 (1)
whe e
Σ
is he a iance ma ix o he e o ec o
ε
, each iand ja e a di e en sec o o he
US economy,
σjj
is he s anda d de ia ion o he e o e m o he equa ion j h, and
ei
is he
selec ion ec o , wi h one as he i h elemen and ze os o he wise. Measu e he di ec ional
epe cussions o ola ili y ecei ed by he US economy sec o i om all o he sec o s jas
in Equa ion (2). The same applies o measu ing he di ec ional epe cussions o ola ili y
ansmi ed by sec o index i o all o he sec o indices jby in e ing he ela ionship ij by ji
in he nume a o .
Sg
i.(H)=
∑N
j=1
j=i
ϑg
ij(H)
∑N
i,j=1ϑg
ij(H)100 =
∑N
j=1
j=i
ϑg
ij(H)
N100 (2)
3.3. Ba uník–K ehlík Re inemen
As in Tessmann e al. (2021), he o al spillo e index ha measu es he ansmission o
ola ili y be ween he US economy sec o s is di ided in o o e nigh (1 day), e y sho - e m
(1 o 4 days), sho - e m (4 o 30 days) and medium/long e m (mo e han 30 days) using
he me hod de eloped by Ba uník and K ehlík(2018) ha measu es connec i i y equency
dynamics h ough he spec al ep esen a ion o a iance decomposi ions. The measu e
o connec i i y is based on impulse esponse unc ions, de ined in he ime domain, and
when de ining he gene alized decomposi ions o s agge ed e o a iance in he equency
bands
d=(a,b)
:
a
,
b∈(−π,π)a<b
, he equency connec ion in equency band
d
is
hen de ined as
CF
d=100
∑θ∼
d)j,k
∑θ∼
∞)j,k
−T θ∼
d
∑θ∼
∞)j,k
(3)
The in e nal connec ion in equency band
d
is hen de ined as in Equa ion (4). The
in e nal connec ion deno es he connec ion e ec ha he equency connec ion b eaks
down he o iginal connec ion in o dis inc pa s which, in sho , p o ide he o iginal
connec ion measu emen C∞.
Cw
d=100 1−T θ∼
d
∑(θ∼
d)j,k!(4)
4. Resul s
The Diebold–Yilmaz Spillo e Index shows he ex en o which ola ili y is ansmi ed
ac oss epo ed asse s. The index can be in e p e ed as a pe cen age a ying om ze o
o one hund ed. I s ou pu p o ides an o e iew o asse - o-asse , asse - o-ma ke , and
ma ke - o-asse ola ili y, as well as o al ma ke connec i i y.
Figu e 1depic s he o al connec i i y o US asse s along he yea s 1998 o 2021. Du ing
his pe iod, ha is, om 22 Decembe 1998 o 12 July 2021, se e al signi ican peaks o
ola ili y occu ed in inancial ma ke s. Ou esea ch began a e he Asian inancial c isis
in 1997. This c isis gene a ed conside able ola ili y in Asian economies and in o he
eme ging ma ke s. Howe e , his e en did no a ec he beginning o ou s udy pe iod.
In 2000, he bu s ing o he do -com bubble esul ed in a signi ican ma ke co ec ion, in
Economies 2024,12, 149 15 o 20
o he Wilshi e 5000 index o he en i e ma ke . This las index is a s ock ma ke index ha
acks he pe o mance o (nea ly) he en i e y o he publicly aded US equi y ma ke .
Table A5 displays he esul s o medium/long- e m impac s (i.e., g ea e han hi y
days). In i , we obse e a dis inc pa e n wi h signi ican ola ili y among he 64 asse s
in ol ed. The DJIA, Wilshi e 5000, and S&P 500 we e he asse s ha ansmi ed he mos
ola ili y o he a ious sec o s and ma ke indices. O e all, he sec o s mos a ec ed
by ola ili y connec ions om o he s we e anspo , ene gy, heal hca e, indus y, and
echnology. Ma ke indices such as he S&P 500, Nasdaq, and Wilshi e 5000 also ecei ed
conside able le els o ola ili y.
We also emphasize ha he cell a he in e sec ion o he las column and he bo om
ow o each able ep esen s he o al connec i i y o he ma ke . In his sense, o al
connec i i y ends o smoo h ou as ime inc eases. Fo example, in Table 4, said in e sec ion
cell shows a o al connec i i y o 29.42 in he pe iod o 1 day (o e nigh ). Howe e , when
we look a Table A1, whe e he pe iod conside ed is 1 o 4 days, we see a small inc ease
o 30.89. Howe e , his end is e e sed in Table A2, which e alua es he pe iod om
4 o 30 days
(sho e m), as connec i i y dec eases o 14.95. Finally, in he pe iod o 30 days
o mo e (medium/long e m), connec i i y eaches i s lowes poin : 2.02.
Economies 2024,12, 149 16 o 20
Table A1. To al spillo e indices.
CRB IRX
DGS10
DGS2
DGS30
DGS5 XLB DCOIL
BRENTEU
DCOIL
WTICO X.DJI X.DJT X.DJU XLE XLF XLV XLI NASDAQ
COM X.SPX
XLK XLU
WIL
5000
FROM
CRB 29.88 0.25 1.51 0.48 1.72 1.13 4.09 11.90 18.69 2.41 1.57 1.38 9.91 1.59 0.92 2.42 1.71 2.83 1.44 1.12 3.03 3.34
IRX 0.51 88.99 0.36 0.77 0.36 0.38 0.55 0.30 0.59 0.71 0.37 0.45 1.20 1.08 0.23 0.47 0.37 0.76 0.33 0.43 0.79 0.52
DGS10 1.12 0.07 22.04 9.26 19.01 18.30 2.47 0.99 0.79 3.06 2.65 0.53 2.59 2.52 1.65 3.01 1.91 2.83 1.80 0.54 2.85 3.71
DGS2 0.54 0.29 13.69 33.06 9.03 19.78 1.66 0.36 0.38 2.52 2.18 0.45 1.63 2.37 1.32 2.39 1.64 2.42 1.51 0.41 2.39 3.19
DGS30 1.44 0.10 21.48 6.88 24.92 15.38 2.58 1.11 1.17 2.94 2.44 0.42 2.87 2.53 1.54 2.88 1.76 2.74 1.60 0.45 2.78 3.58
DGS5 0.90 0.11 19.51 14.24 14.52 23.52 2.11 0.71 0.57 2.84 2.48 0.45 2.18 2.47 1.53 2.79 1.76 2.63 1.61 0.44 2.63 3.64
XLB 1.80 0.08 1.54 0.70 1.41 1.24 13.66 0.63 0.77 8.89 7.76 3.53 6.60 6.47 5.18 9.08 5.32 8.50 4.82 3.51 8.49 4.11
DCOIL
BRENTEU 16.79 0.44 1.63 0.40 1.66 1.10 2.08 37.55 17.47 1.56 0.81 0.93 8.37 1.08 0.51 1.39 1.00 1.76 0.89 0.68 1.88 2.97
DCOIL
WTICO 22.76 0.25 1.26 0.41 1.69 0.88 2.04 15.07 36.41 1.36 0.63 0.58 8.49 0.76 0.49 1.27 0.97 1.63 0.87 0.43 1.75 3.03
X.DJI 0.84 0.08 1.48 0.83 1.24 1.29 6.93 0.40 0.43 10.67 6.88 3.91 5.07 7.49 6.55 8.76 6.86 9.95 6.70 4.01 9.64 4.25
X.DJT 0.68 0.05 1.65 0.91 1.33 1.45 7.74 0.26 0.25 8.85 13.58 3.02 4.48 7.40 5.39 9.81 6.49 8.85 5.65 3.14 9.02 4.12
X.DJU 0.86 0.07 0.58 0.31 0.41 0.47 5.19 0.47 0.37 7.39 4.42 19.80 5.72 4.98 4.99 5.75 3.62 7.48 3.49
16.53
7.10 3.82
XLE 5.07 0.21 1.79 0.77 1.75 1.43 7.53 2.98 3.61 7.38 5.09 4.50 15.58 5.39 3.96 6.83 3.88 7.48 3.41 3.92 7.46 4.02
XLF 0.72 0.15 1.53 0.96 1.35 1.41 6.44 0.31 0.31 9.53 7.30 3.39 4.74
13.51
5.41 8.31 6.20 9.87 5.39 3.45 9.71 4.12
XLV 0.49 0.03 1.13 0.62 0.93 1.00 5.75 0.21 0.25 9.29 5.95 3.76 3.86 5.99
15.12
7.74 7.59 9.78 6.77 4.14 9.61 4.04
XLI 0.91 0.06 1.58 0.85 1.33 1.38 7.68 0.38 0.42 9.53 8.32 3.35 5.08 7.10 5.93
11.55
6.60 9.23 6.09 3.43 9.20 4.21
NASDAQ
COM 0.71 0.05 1.14 0.67 0.92 1.00 5.12 0.29 0.35 8.49 6.24 2.35 3.33 6.05 6.65 7.52 13.09 10.48
11.93
2.63 10.97 4.14
X.SPX 0.95 0.08 1.32 0.76 1.12 1.16 6.37 0.42 0.48 9.56 6.61 3.80 4.94 7.46 6.65 8.16 8.14 10.27 7.65 3.97 10.15 4.27
XLK 0.64 0.05 1.14 0.65 0.89 0.97 4.95 0.29 0.33 8.84 5.78 2.43 3.14 5.61 6.32 7.38 12.70 10.50
13.93
2.86 10.61 4.10
XLU 0.64 0.07 0.54 0.26 0.40 0.42 5.07 0.32 0.27 7.43 4.53 16.33 4.92 4.98 5.43 5.81 3.95 7.65 4.00
19.72
7.26 3.82
WIL
5000INDFC
1.01 0.08 1.33 0.75 1.14 1.16 6.38 0.45 0.51 9.29 6.76 3.62 4.94 7.36 6.54 8.15 8.54 10.17 7.76 3.77 10.27 4.27
TO 2.83 0.12 3.63 1.97 2.96 3.40 4.42 1.80 2.29 5.80 4.23 2.82 4.48 4.32 3.68 5.23 4.33 6.07 3.99 2.85 6.06 77.28
Sou ce: elabo a ed by he au ho s.
Table A2. Vola ili y spillo e s in he o e nigh pe iod (one day only).
CRB
13-Week
T easu y
Bill
10-Yea s
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
CRB 10.32 0.02 0.56 0.15 0.56 0.40 0.89 3.99 6.55 0.50 0.28 0.23 2.50 0.31 0.19 0.51 0.31 0.58 0.26 0.15 0.62 0.93
IRX 0.20 38.18 0.23 0.29 0.21 0.20 0.35 0.16 0.19 0.38 0.21 0.30 0.61 0.59 0.15 0.25 0.21 0.43 0.20 0.28 0.44 0.28
DGS10 0.44 0.01 7.74 3.26 6.68 6.47 0.94 0.42 0.36 1.34 1.03 0.28 1.12 1.02 0.78 1.20 0.82 1.23 0.80 0.29 1.23 1.42
DGS2 0.25 0.08 5.45 14.29 3.70 7.81 0.67 0.15 0.18 1.05 0.86 0.20 0.71 1.02 0.56 0.96 0.68 1.02 0.64 0.20 1.01 1.30
DGS30 0.54 0.01 7.35 2.54 8.57 5.54 0.95 0.45 0.49 1.29 0.93 0.21 1.21 1.02 0.72 1.14 0.74 1.17 0.70 0.24 1.18 1.35
DGS5 0.37 0.01 7.26 5.06 5.52 8.79 0.80 0.31 0.24 1.20 0.93 0.23 0.91 0.98 0.69 1.10 0.74 1.11 0.70 0.23 1.11 1.40
XLB 0.72 0.01 0.61 0.27 0.53 0.50 4.97 0.23 0.36 3.25 2.74 1.36 2.41 2.31 1.96 3.25 1.97 3.16 1.80 1.33 3.14 1.52
B en C ude
Oil 2.70 0.06 0.56 0.12 0.45 0.34 0.27 10.94 2.80 0.25 0.12 0.19 1.17 0.12 0.11 0.22 0.12 0.26 0.12 0.11 0.27 0.49
Economies 2024,12, 149 17 o 20
Table A2. Con .
CRB
13-Week
T easu y
Bill
10-Yea s
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
WTI C ude
Oil 8.07 0.08 0.38 0.11 0.44 0.23 0.51 4.90 13.00 0.38 0.16 0.19 2.36 0.20 0.15 0.34 0.22 0.43 0.21 0.11 0.46 0.95
DJIA 0.41 0.02 0.67 0.35 0.54 0.58 2.76 0.17 0.22 4.34 2.68 1.67 2.15 3.01 2.68 3.45 2.79 4.08 2.73 1.71 3.94 1.74
DJTA 0.31 0.01 0.68 0.36 0.52 0.59 2.85 0.10 0.14 3.43 4.93 1.24 1.78 2.82 2.14 3.62 2.50 3.45 2.20 1.27 3.50 1.60
DJUA 0.41 0.03 0.36 0.17 0.26 0.29 2.22 0.20 0.22 3.31 1.90 7.54 2.36 2.18 2.25 2.42 1.71 3.37 1.67 6.52 3.19 1.67
XLE 1.96 0.04 0.68 0.28 0.61 0.54 2.81 1.10 1.42 2.94 1.87 1.82 5.86 2.11 1.65 2.55 1.55 3.01 1.38 1.58 2.97 1.57
XLF 0.37 0.04 0.63 0.36 0.53 0.57 2.65 0.14 0.18 3.88 2.78 1.48 2.08 5.37 2.28 3.27 2.52 4.03 2.20 1.49 3.96 1.69
XLV 0.26 0.01 0.54 0.27 0.43 0.47 2.25 0.10 0.15 3.52 2.17 1.57 1.63 2.20 5.61 2.91 2.69 3.65 2.46 1.65 3.58 1.55
XLI 0.40 0.01 0.65 0.32 0.54 0.56 2.77 0.14 0.21 3.57 2.94 1.35 1.94 2.54 2.26 4.24 2.44 3.47 2.28 1.36 3.44 1.58
Nasdaq 0.33 0.01 0.52 0.28 0.40 0.45 2.03 0.13 0.17 3.44 2.40 1.05 1.48 2.47 2.70 2.96 4.88 4.15 4.44 1.14 4.31 1.66
SPX 0.46 0.02 0.60 0.32 0.49 0.53 2.57 0.18 0.25 3.91 2.57 1.62 2.12 3.01 2.72 3.23 3.23 4.18 3.04 1.67 4.12 1.75
XLK 0.30 0.01 0.52 0.29 0.39 0.45 2.00 0.12 0.16 3.65 2.25 1.11 1.45 2.34 2.62 2.97 4.81 4.24 5.27 1.27 4.25 1.68
XLU 0.30 0.03 0.32 0.13 0.24 0.25 2.08 0.13 0.16 3.15 1.86 6.28 1.98 2.06 2.33 2.34 1.73 3.25 1.75 7.84 3.08 1.59
Wilshi e
5000 0.47 0.02 0.60 0.32 0.49 0.52 2.51 0.19 0.26 3.73 2.57 1.52 2.08 2.92 2.63 3.16 3.29 4.05 3.00 1.56 4.06 1.71
TO 0.92 0.03 1.39 0.73 1.12 1.30 1.66 0.63 0.70 2.29 1.58 1.14 1.62 1.68 1.50 1.99 1.67 2.39 1.55 1.15 2.37 29.42
Sou ce: elabo a ed by he au ho s.
Table A3. Vola ili y spillo e s in he e y sho e m: one o ou days.
CRB
13-Week
T easu y
Bill
10-Yea
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
CRB
12.31
0.12 0.63 0.21 0.73 0.48 1.85 4.94 7.65 1.10 0.72 0.65 4.36 0.74 0.43 1.09 0.79 1.30 0.66 0.54 1.39 1.45
IRX 0.21 34.40 0.12 0.33 0.12 0.14 0.17 0.10 0.25 0.24 0.12 0.13 0.43 0.37 0.06 0.16 0.12 0.25 0.11 0.13 0.26 0.18
DGS10 0.45 0.04 9.02 3.79 7.80 7.48 1.00 0.39 0.31 1.18 1.06 0.19 1.01 0.99 0.62 1.20 0.75 1.10 0.70 0.19 1.11 1.49
DGS2 0.20 0.13 5.44 12.52 3.56 7.85 0.66 0.14 0.14 0.99 0.87 0.17 0.63 0.91 0.52 0.95 0.65 0.95 0.59 0.16 0.94 1.26
DGS30 0.59 0.05 8.81 2.77 10.23 6.21 1.05 0.45 0.47 1.14 0.98 0.15 1.13 1.00 0.59 1.15 0.70 1.07 0.63 0.16 1.09 1.44
DGS5 0.36 0.06 7.89 5.86 5.84 9.48 0.86 0.28 0.23 1.11 1.01 0.17 0.86 0.99 0.59 1.12 0.70 1.03 0.63 0.16 1.04 1.47
XLB 0.69 0.04 0.61 0.28 0.56 0.49 5.55 0.25 0.28 3.60 3.18 1.42 2.67 2.65 2.09 3.71 2.15 3.44 1.95 1.42 3.44 1.66
B en C ude
Oil 7.96 0.21 0.66 0.17 0.69 0.46 0.95 16.09 8.28 0.70 0.36 0.42 3.89 0.52 0.22 0.61 0.45 0.80 0.39 0.31 0.85 1.38
WTI C ude
Oil 9.18 0.09 0.52 0.18 0.73 0.39 0.89 6.27 14.70 0.59 0.27 0.25 3.63 0.33 0.21 0.55 0.43 0.71 0.38 0.19 0.76 1.26
DJIA 0.29 0.03 0.56 0.32 0.47 0.49 2.72 0.15 0.14 4.17 2.73 1.51 1.94 2.94 2.56 3.47 2.68 3.88 2.62 1.55 3.76 1.66
DJTA 0.24 0.02 0.64 0.37 0.52 0.57 3.12 0.10 0.08 3.52 5.52 1.18 1.75 2.96 2.14 3.97 2.59 3.51 2.25 1.24 3.59 1.64
DJUA 0.29 0.02 0.19 0.11 0.13 0.15 1.97 0.17 0.11 2.76 1.67 7.89 2.18 1.88 1.87 2.20 1.32 2.80 1.28 6.52 2.65 1.44
XLE 1.98 0.09 0.70 0.31 0.71 0.57 2.98 1.19 1.40 2.87 2.03 1.76 6.21 2.12 1.53 2.71 1.50 2.91 1.32 1.54 2.91 1.58
XLF 0.24 0.07 0.60 0.40 0.54 0.56 2.52 0.12 0.10 3.75 2.93 1.30 1.81 5.36 2.10 3.31 2.45 3.88 2.12 1.33 3.82 1.62
XLV 0.17 0.01 0.43 0.25 0.35 0.38 2.32 0.08 0.07 3.75 2.44 1.49 1.51 2.45 6.15 3.15 3.13 3.97 2.75 1.66 3.91 1.63
XLI 0.33 0.02 0.62 0.35 0.52 0.54 3.12 0.15 0.14 3.83 3.40 1.32 2.02 2.90 2.38 4.68 2.66 3.71 2.45 1.36 3.70 1.69
Economies 2024,12, 149 18 o 20
Table A3. Con .
CRB
13-Week
T easu y
Bill
10-Yea
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
Nasdaq 0.25 0.02 0.43 0.26 0.35 0.38 2.02 0.11 0.12 3.33 2.49 0.89 1.26 2.37 2.61 2.98 5.25 4.13 4.79 1.01 4.34 1.63
SPX 0.34 0.03 0.50 0.30 0.43 0.44 2.50 0.16 0.16 3.73 2.63 1.47 1.89 2.93 2.60 3.23 3.21 4.01 3.02 1.54 3.97 1.67
XLK 0.23 0.02 0.43 0.26 0.34 0.37 1.94 0.11 0.11 3.45 2.30 0.91 1.17 2.18 2.47 2.91 5.10 4.12 5.58 1.08 4.18 1.60
XLU 0.22 0.02 0.18 0.10 0.13 0.14 1.96 0.12 0.08 2.84 1.75 6.50 1.90 1.92 2.08 2.26 1.49 2.93 1.52 7.78 2.78 1.47
Wilshi e 5000 0.36 0.03 0.50 0.30 0.44 0.44 2.52 0.17 0.17 3.64 2.70 1.40 1.90 2.91 2.57 3.24 3.39 4.00 3.08 1.47 4.05 1.68
TO 1.17 0.05 1.45 0.80 1.19 1.36 1.77 0.73 0.97 2.29 1.70 1.11 1.81 1.72 1.44 2.09 1.73 2.40 1.58 1.12 2.40 30.89
Sou ce: elabo a ed by he au ho s.
Table A4. Spillo e s in he sho e m: ou o hi y days.
CRB
13-Week
T easu y
Bill
10-Yea
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
CRB 6.39 0.09 0.29 0.10 0.38 0.21 1.19 2.61 3.94 0.71 0.50 0.44 2.68 0.48 0.27 0.72 0.54 0.84 0.45 0.37 0.90 0.84
IRX 0.08 14.49 0.02 0.14 0.02 0.04 0.03 0.03 0.13 0.08 0.03 0.02 0.14 0.11 0.01 0.05 0.03 0.07 0.03 0.02 0.08 0.05
DGS10 0.20 0.02 4.65 1.94 3.99 3.83 0.48 0.16 0.11 0.48 0.50 0.06 0.41 0.45 0.22 0.54 0.30 0.45 0.27 0.05 0.45 0.71
DGS2 0.08 0.07 2.48 5.51 1.56 3.63 0.29 0.06 0.06 0.42 0.39 0.06 0.26 0.39 0.21 0.42 0.27 0.39 0.24 0.05 0.39 0.56
DGS30 0.27 0.03 4.68 1.38 5.38 3.20 0.51 0.18 0.18 0.45 0.47 0.05 0.47 0.45 0.21 0.52 0.28 0.44 0.24 0.05 0.45 0.69
DGS5 0.15 0.04 3.84 2.92 2.78 4.62 0.40 0.11 0.09 0.47 0.48 0.05 0.36 0.44 0.22 0.51 0.28 0.43 0.25 0.04 0.43 0.68
XLB 0.34 0.03 0.28 0.13 0.28 0.22 2.76 0.13 0.13 1.79 1.63 0.67 1.35 1.33 1.00 1.87 1.06 1.68 0.94 0.67 1.68 0.82
B en C ude
Oil 5.38 0.15 0.36 0.10 0.46 0.26 0.76 9.24 5.61 0.53 0.30 0.29 2.91 0.39 0.15 0.48 0.38 0.61 0.33 0.23 0.67 0.97
WTI C ude
Oil 4.84 0.07 0.31 0.11 0.47 0.23 0.56 3.43 7.67 0.35 0.17 0.12 2.20 0.20 0.11 0.34 0.28 0.43 0.25 0.11 0.47 0.72
DJIA 0.13 0.02 0.22 0.13 0.20 0.20 1.27 0.07 0.06 1.91 1.30 0.64 0.87 1.36 1.16 1.62 1.23 1.76 1.19 0.67 1.71 0.75
DJTA 0.11 0.02 0.29 0.17 0.25 0.26 1.56 0.05 0.03 1.68 2.75 0.53 0.84 1.43 0.99 1.96 1.23 1.66 1.06 0.55 1.7 0.78
DJUA 0.14 0.01 0.03 0.02 0.02 0.02 0.88 0.08 0.04 1.16 0.75 3.84 1.05 0.81 0.77 0.99 0.52 1.16 0.48 3.07 1.11 0.63
XLE 0.99 0.06 0.35 0.15 0.38 0.28 1.52 0.60 0.69 1.38 1.05 0.81 3.09 1.03 0.69 1.37 0.73 1.38 0.63 0.70 1.40 0.77
XLF 0.99 0.04 0.27 0.18 0.25 0.25 1.12 0.05 0.03 1.68 1.39 0.53 0.76 2.45 0.91 1.52 1.09 1.73 0.94 0.55 1.71 0.72
XLV 0.05 0.01 0.15 0.09 0.13 0.13 1.05 0.03 0.02 1.77
1.018
0.62 0.64 1.18 2.96 1.48 1.56 1.90 1.36 0.74 1.87 0.76
XLI 0.16 0.02 0.27 0.16 0.24 0.24 1.58 0.08 0.06 1.88 1.74 0.59 0.99 1.46 1.13 2.32 1.32 1.81 1.20 0.62 1.81 0.83
Nasdaq 0.11 0.01 0.17 0.11 0.15 0.14 0.95 0.05 0.05 1.53 1.19 0.37 0.53 1.07 1.19 1.39 2.60 1.93 2.38 0.43 2.05 0.75
SPX 0.14 0.02 0.19 0.12 0.18 0.17 1.15 0.07 0.07 1.69 1.24 0.63 0.82 1.34 1.17 1.50 1.50 1.83 1.41 0.67 1.82 0.76
XLK 0.10 0.01 0.17 0.10 0.14 0.14 0.89 0.05 0.05 1.54 1.08 0.36 0.47 0.95 1.09 1.32 2.47 1.89 2.71 0.44 1.92 0.72
XLU 0.11 0.01 0.03 0.02 0.03 0.02 0.91 0.06 0.03 1.27 0.81 3.13 0.92 0.88 0.90 1.06 0.64 1.30 0.65 3.62 1.24 0.67
Wilshi e
5000 0.16 0.02 0.20 0.12 0.18 0.17 1.19 0.08 0.07 1.69 1.31 0.61 0.85 1.36 1.18 1.54 1.64 1.87 1.48 0.65 1.90 0.78
TO 0.65 0.04 0.70 0.39 0.58 0.65 0.87 0.38 0.54 1.07 0.83 0.50 0.93 0.81 0.65 1.01 0.83 1.13 0.75 0.51 1.14 14.95
Sou ce: elabo a ed by he au ho s.
Economies 2024,12, 149 19 o 20
Table A5. Spillo e s in he medium/long e m: mo e han hi y days.
CRB
13-Week
T easu y
Bill
10-Yea
T easu y
No e
2-Yea
T easu y
No e
30-Yea
T easu y
Bond
5-Yea
T easu y
No e
XLB B en
Oil
WTI
Oil DJI DJT DJU XLE XLF XLV XLI
NDQ
SPX
XLK XLU
WILSHIRE
5000
FROM
CRB 0.87 0.01 0.04 0.01 0.05 0.03 0.17 0.36 0.54 0.10 0.07 0.06 0.37 0.07 0.04 0.10 0.08 0.12 0.06 0.05 0.13 0.12
IRX 0.01 1.92 0.00 0.02 0.00 0.00 0.00 0.00 0.02 0.01 0.00 0.00 0.02 0.01 0.00 0.01 0.00 0.01 0.00 0.00 0.01 0.01
DGS10 0.03 0.00 0.63 0.26 0.54 0.52 0.06 0.02 0.01 0.06 0.07 0.01 0.05 0.06 0.03 0.07 0.04 0.06 0.03 0.01 0.06 0.10
DGS2 0.01 0.01 0.33 0.74 0.21 0.49 0.04 0.01 0.01 0.06 0.05 0.01 0.03 0.05 0.03 0.06 0.04 0.05 0.03 0.01 0.05 0.07
DGS30 0.04 0.00 0.64 0.19 0.74 0.44 0.07 0.02 0.02 0.06 0.06 0.01 0.06 0.06 0.03 0.07 0.04 0.06 0.03 0.01 0.06 0.09
DGS5 0.02 0.00 0.52 0.40 0.38 0.62 0.05 0.01 0.01 0.06 0.06 0.01 0.05 0.06 0.03 0.07 0.04 0.06 0.03 0.01 0.06 0.09
XLB 0.05 0.00 0.04 0.02 0.02 0.04 0.03 0.38 0.02 0.24 0.22 0.09 0.18 0.18 0.13 0.25 0.14 0.23 0.13 0.09 0.23 0.11
B en C ude
Oil 0.75 0.02 0.05 0.01 0.06 0.04 0.11 1.28 0.79 0..08 0.04 0.04 0.41 0.05 0.02 0.07 0.05 0.09 0.05 0.03 0.10 0.14
WTI C ude
Oil 0.66 0.01 0.04 0.01 0.07 0.03 0.08 0.47 1.05 0.05 0.02 0.02 0.31 0.03 0.02 0.05 0.04 0.06 0.04 0.01 0.07 0.10
DJIA 0.02 0.00 0.03 0.02 0.03 0.03 0.17 0.01 0.01 0.26 0.18 0.09 0.12 0.18 0.15 0.22 0.17 0.24 0.16 0.09 0.23 0.10
DJTA 0.01 0.00 0.04 0.02 0.03 0.03 0.21 0.01 0.00 0.23 0.37 0.07 0.11 0.19 0.13 0.27 0.17 0.22 0.14 0.07 0.23 0.11
DJUA 0.02 0.00 0.00 0.00 0.00 0.00 0.12 0.01 0.00 0.15 0.10 0.52 0.14 0.11 0.10 0.13 0.07 0.15 0.06 0.41 0.15 0.08
XLE 0.14 0.01 0.5 0.02 0.05 0.04 0.21 0.08 0.09 0.19 0.14 0.11 0.42 0.14 0.09 0.19 0.10 1.19 0.09 0.09 0.19 0.10
XLF 0.01 0.00 0.04 0.02 0.03 0.03 0.15 0.01 0.00 0.22 0.19 0.07 0.10 0.33 0.12 0.20 0.15 0.23 0.13 0.07 0.23 0.10
XLV 0.01 0.00 0.02 0.01 0.02 0.02 0.14 0.00 0.00 0.24 0.16 0.08 0.08 0.16 0.40 0.20 0.21 0.26 0.18 0.10 0.25 0.10
XLI 0.02 0.00 0.04 0.02 0.03 0.03 0.21 0.01 0.01 0.26 0.24 0.08 0.13 0.20 0.15 0.31 0.18 0.24 0.16 0.08 0.25 0.11
Nasdaq 0.02 0.00 0.02 0.01 0.02 0.02 0.13 0.01 0.01 0.20 0.16 0.05 0.07 0.14 0.16 0.19 0.35 0.26 0.32 0.06 0.28 0.10
SPX 0.02 0.00 0.03 0.02 0.02 0.02 0.15 0.01 0.01 0.23 0.17 0.08 0.11 0.18 0.16 0.20 0.20 0.25 0.19 0.09 0.24 0.10
XLK 0.01 0.00 0.02 0.01 0.02 0.02 0.12 0.01 0.01 0.21 0.14 0.05 0.06 0.13 0.15 0.18 0.33 0.25 0.37 0.06 0.26 0.10
XLU 0.01 0.00 0.00 0.00 0.00 0.00 0.12 0.01 0.00 0.17 0.11 0.42 0.13 0.12 0.12 0.14 0.09 0.17 0.09 0.49 0.17 0.09
Wilshi e
5000 0.02 0.00 0.03 0.02 0.02 0.02 0.16 0.01 0.01 0.23 0.18 0.08 0.11 0.18 0.16 0.21 0.22 0.25 0.20 0.09 0.26 0.11
TO 0.09 0.01 0.09 0.05 0.08 0.09 0.12 0.05 0.08 0.14 0.11 0.07 0.13 0.11 0.09 0.14 0.11 0.15 0.10 0.07 0.15 2.02
Sou ce: elabo a ed by he au ho s.
Economies 2024,12, 149 20 o 20
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au ho (s) and con ibu o (s) and no o MDPI and/o he edi o (s). MDPI and/o he edi o (s) disclaim esponsibili y o any inju y o
people o p ope y esul ing om any ideas, me hods, ins uc ions o p oduc s e e ed o in he con en .
