New Risk Management Study Findings Recently Were Reported by a Researcher at University of Johannesburg (Dynamic Connectedness Among Key Financial Markets and the Role of Policy Uncertainty: A Quantile-Based Approach): Insurance – Risk Management

2026 JAN 06 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Researchers detail new data in risk management. According to news reporting out of Johannesburg, South Africa, by NewsRx editors, research stated, “This paper investigates the return spillover dynamics among carry trade, stock, foreign exchange, and commodity markets to identify their roles as net transmitters or receivers of shocks under varying market conditions.”

The news correspondents obtained a quote from the research from University of Johannesburg: “Employing a Quantile Vector Autoregressive (QVAR) framework within the network-connectedness approach, the analysis captures asymmetric and state-dependent relationships across these markets. In addition, the study examines the influence of U.S. monetary and economic policy uncertainties on the total return spillovers among these markets across different market regimes, using the quantile-in-causality technique. The empirical results reveal that market influence shifts with changing conditions, while total interconnectedness intensifies during periods of elevated uncertainty, particularly throughout the bear market with the total connectedness index reaching 69.97%. Moreover, U.S. Monetary Policy Uncertainty (MPU) exerts varying effects on total connectedness depending on the prevailing market regime, with a pronounced effect at 0.50 quantile, representing stable market regime with no effect at extreme market conditions.”

According to the news reporters, the research concluded: “These findings offer valuable insights for policymakers and investors, especially regarding the timing of asset allocation and investment decisions under different states of market uncertainty.”

For more information on this research see: Dynamic Connectedness Among Key Financial Markets and the Role of Policy Uncertainty: A Quantile-Based Approach. Risks, 2025,13(12):228. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks13120228.

Our news editors report that more information may be obtained by contacting Lumengo Bonga-Bonga, School of Economics, University of Johannesburg, Johannesburg 2006, South Africa.

(Our reports deliver fact-based news of research and discoveries from around the world.)