A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk

This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers daily closing prices specified countries - Brazil, Russia, India, China, Turkey certain commodities gold oil for period January 2008 2022. We utilized DCC-GARCH model these Copula DCC-GACRH determine dependence structures them. Additionally, we applied Hong Causality Variance Test direction causal relationships markets. Our empirical findings indicate existence significant spillovers most (Brazil, Turkey), some (Russia, India Turkey). results a limited diversification benefit investors portfolio managers.