Financial stress spillovers in advanced economies
George Apostolakis and
Athanasios Papadopoulos
Journal of International Financial Markets, Institutions and Money, 2014, vol. 32, issue C, 128-149
Abstract:
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.
Keywords: Financial stability; Financial stress indices; Dynamic conditional correlations; Stress spillover index; Financial crises (search for similar items in EconPapers)
JEL-codes: C32 C43 F30 G15 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (46)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443114000663
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:32:y:2014:i:c:p:128-149
DOI: 10.1016/j.intfin.2014.06.001
Access Statistics for this article
Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely
More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).