Analyzing the response of energy and major financial assets to global financial risks: a time-quantile analysis in a volatile global environment

• The dynamic impact of global financial risks on seven asset classes was analyzed. • Time-varying quantile regression was applied to capture heterogeneous market responses. • Stronger effects were found in energy, equities, and cryptocurrency at upper quantiles. • Policy implications were provided for risk management in low- and middle-income countries. The study investigates the response of agriculture, energy, precious metals, equity, foreign exchange, bonds, and cryptocurrency to global financial risks using daily data from 18 July 2010 to 24 May 2024. It employs time-varying quantile techniques to examine this relationship. The results indicate that, with the exception of agricultural volatility, which exhibits an unstable response to global financial risks, the volatility of assets such as precious metals, the dollar index, bonds, and Bitcoin increases in response to global financial risks. Moreover, a stronger impact of global financial risk is observed in the upper quantiles, suggesting greater sensitivity of energy and other financial asset markets during periods of extreme volatility. Policy recommendations are provided based on these findings.