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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. <\/jats:p> This paper was accepted by Neng Wang, finance. <\/jats:p>","DOI":"10.1287\/mnsc.2015.2305","type":"journal-article","created":{"date-parts":[[2016,2,12]],"date-time":"2016-02-12T03:27:14Z","timestamp":1455247634000},"page":"333-354","source":"Crossref","is-referenced-by-count":182,"title":["Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes"],"prefix":"10.1287","volume":"63","author":[{"given":"Zihui","family":"Yang","sequence":"first","affiliation":[{"name":"Lingnan College, Sun Yat-Sen University, Guangzhou 510275, China"}]},{"given":"Yinggang","family":"Zhou","sequence":"additional","affiliation":[{"name":"Department of Finance at School of Economics, and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen 361005, China"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12122"},{"key":"B2","volume-title":"Keynote speech, International Risk Management Conference","author":"Allen F","year":"2014"},{"key":"B3","first-page":"367","volume-title":"The Network Challenge","author":"Allen F","year":"2009"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1086\/262109"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhs094"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"B7","doi-asserted-by":"publisher","DOI":"10.1198\/jbes.2009.07205"},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000002350"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.2307\/2330744"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv030"},{"key":"B11","doi-asserted-by":"publisher","DOI":"10.1016\/j.jimonfin.2013.12.007"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2008.01.005"},{"key":"B13","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2013.06.003"},{"key":"B14","first-page":"1","volume-title":"The Changing Policy Landscape: Proc. 2012 Jackson Hole Sympos.","author":"Bernanke BS","year":"2012"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.1257\/0002828041302118"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-110311-101754"},{"key":"B17","first-page":"177","volume-title":"Proc. 1976 Meeting of Bus. 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