The relationships between the oil market and other financial markets remain poorly understood. In this paper, we first construct a set of spillover indices that measure the return spillovers from the oil market to other financial markets in the short, medium, and long terms, and then we examine the drivers of spillover intensity by focusing on the effect of quantitative easing in the U.S. The main empirical results are as follows. First, the return spillovers from the oil market to other markets are driven by various frequencies (short-term to long-term), and intensified during the global financial crisis of 2007–2009. Second, quantitative easing has different effects on the spillover intensity at different frequencies, with the effect on short-term spillovers being less significant. Third, our research provides the first empirical evidence for a double-edged sword effect of quantitative easing on the systemic risk from the frequency perspective.

石油市场与其他金融市场之间的关系仍然知之甚少。在本文中，我们首先构建了一套溢出指数来衡量从石油市场到其他金融市场的短期、中期和长期的回报溢出，然后通过关注溢出强度的影响来研究溢出强度的驱动因素。美国量化宽松政策的主要实证结果如下。首先，石油市场对其他市场的回报溢出效应是由不同频率（短期到长期）驱动的，并且在2007-2009年全球金融危机期间加剧。其次，量化宽松在不同频率下对溢出强度的影响不同，对短期溢出的影响不太显着。第三，我们的研究首次从频率角度证明了量化宽松对系统性风险的双刃剑效应。