Abstract The paper analyzes the risk transmission mechanism of the subprime crisis by comparing the dynamic linkage among gold, oil and US dollar markets in 2008 subprime crisis with Granger causality It is found that the risk of the subprime crisis spreads from US exchange and gold markets to oil market. The trivariate vector error correction (VEC) model analysis shows that there is one cointegration relation among gold, oil price and dollar index before the subprime crisis, but they are not cointegrated after the shock of the crisis. Empirical results indicate that the subprime crisis not only drives up the volatilities in these three markets, but also makes the risk spillover effects significant.
GONG Yu-Ting. Risk Transmission and Volatility Spillover under Subprime Crisis：Evidence from Gold, Oil and US Dollar Markets. Economic Survey, 2013, 1(2): 0150.
2013, Vol. 1 
