sharp decline immediately after the stock index futures were introduced, the cash market is found to play a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets.
We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied volatilities of U.S. Treasury bonds, global stock indices, and commodities. The U.S. stock market is the center of the international volatility spillover network, and its volatility spillover to other markets has intensified since 2008. Moreover, U.S. quantitative easing alone explains 40%–55% of intensifying spillover from the United States. The addition of interest rate and currency factors does not diminish the dominant role of quantitative easing. Our findings highlight the primary contribution of U.S. unconventional monetary policy to volatility spillovers and potential global systemic risk. This paper was accepted by Neng Wang, finance.
The water level of the Three Gorges Reservoir (TGR) rose to 172.5 m in two stages from September to November, 2008. The hydrodynamic parameters and water quality parameters (e.g. flow velocity, temperature, turbidity and nutrient content) had been continuously monitored to reveal the influence of the impounding process of the TGR on the water eutrophication in the Xiangxi Bay (XXB). The maximal daily rise of the water level of the TGR was about 2.38 m. The water exchange between the mainstream (the Changjiang River) and the XXB of the TGR was enhanced by density current, and its main characteristics were a density-stratified flow in different directions. The water exchange reduced the differences of the water quality parameters (for example, temperature, turbidity, nutrient level, pH, etc.) between the mainstream and the XXB during the impounding process. Meanwhile, the water stability index in the mainstream remained small but it was lowered in the XXB. The main causes included the dilution by water of lower concentration of the chlorophyll a (Chl. a) entering from the mainstream, the decline of the water stability, and the increase of suspended silt, which induced the Chl.a to decrease in the XXB during the impounding process. The grade of the water eutrophication changed from middle eutrophic level to mesotrophic state in the process. However, as available nutrients were imported into the XXB from the mainstream during the impounding process the risk of water eutrophication increases in the XXB in the future. impounding, density current, eutrophication, the Xiangxi Bay, the Three Gorges Reservoir Citation: Yang Z J, Liu D F, Ji D B, et al. Influence of the impounding process of the Three Gorges Reservoir up to water level 172.5 m on water eutrophication in the Xiangxi Bay.
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