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Macroeconomic shocks and systemic risk in the US stock market

Author

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  • Kchaou, Oussama
  • Sassi, Salim Ben
  • Amar, Amine Ben

Abstract

This study investigates the impact of macroeconomic shocks on volatility spillovers among US sectoral equity indices. The results indicate that consumer staples, healthcare, information technology, telecommunication services, and utilities sectors are net transmitters of volatility shocks when macroeconomic variables are excluded. Conversely, the financials, materials, and energy sectors emerge as net recipients of volatility spillovers. These results differ in scenarios including macroeconomic shocks: while materials and energy sectors emerge as net contributors to volatility spillovers, the spillover balance index increases across most sectors. Simultaneously, the absolute value of spillovers decreases. Furthermore, the results reveal that risk aversion and credit default predominantly drive US sectoral equity spillovers and that the effect of macroeconomic shocks lasts considerably longer than that of sectoral volatility shocks. Based on the findings, ignoring macroeconomic shocks may bias the analysis of volatility spillovers among US sectoral equity indices.

Suggested Citation

  • Kchaou, Oussama & Sassi, Salim Ben & Amar, Amine Ben, 2026. "Macroeconomic shocks and systemic risk in the US stock market," Energy Economics, Elsevier, vol. 160(C).
    • Handle: RePEc:eee:eneeco:v:160:y:2026:i:c:s014098832600318x
    DOI: 10.1016/j.eneco.2026.109439
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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