Financial stress spillovers in advanced economies
Financial stress spillovers in advanced economies
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DOI：
10.1016/j.intfin.2014.06.001
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发表时间：
2014-09-01
影响因子：
4
通讯作者：
Papadopoulos, Athanasios P.
中科院分区：
文献类型：
--
作者：
Apostolakis, George;Papadopoulos, Athanasios P.
在这项研究中，我们采用金融压力指数作为代理变量，并考虑到金融不稳定性，研究金融压力的协动和溢出效应之间的G7经济体。为了检验金融压力的相互依赖性，我们分析了1981-2009年期间这些国家之间金融压力的动态条件相关性。此外，我们提出了溢出指数和图的金融压力，表明金融压力创新和溢出动力，分别。我们的实证结果表明，金融压力的协动和溢出与金融危机和不确定性的正相关。总的来说，我们的研究结果提供了一个清晰的观点，在重要的压力事件的金融压力的传输，这表明金融市场之间的相互作用增加的存在。(C)2014 Elsevier By. All rights reserved.
In this study, we examine financial stress co-movements and spillovers among the G7 economies by employing a Financial Stress Index as a proxy variable and accounting for financial instability. To examine the interdependence of financial stress, we parse the dynamic conditional correlations of financial stress among these countries for the 1981-2009 period. In addition, we present spillover indices and plots of financial stress that indicate financial stress innovations and spillover dynamics, respectively. Our empirical results suggest a positive association of financial stress co-movements and spillovers with both financial crises and uncertainty. In general, our findings provide a clear view of the transmission of financial stress during important stressful episodes, suggesting the existence of an increased interplay among the financial markets. (C) 2014 Elsevier By. All rights reserved.