Contagion and interdependencies between BRICS-plus Countries on the Markets of Commodities and Derivative Financial Instruments

Marco Desogus and Elisa Casu

Journal of Business and Social Review in Emerging Economies, 2024, vol. 10, issue 2, 269-288

Abstract: Purpose: This study was started on the main macroeconomic data (2010-2019), coming from the countries of the BRICS-plus group. While a significant contribution of these emerging economies to global economic output has generally been observed, this has also been accompanied by persistent domestic imbalance.Design/Methodology/Approach: Regarding the model, we state and contextualize the (long-term) risk co-incidence of the set of macroeconomic variables for this coalition of countries. Particular attention was paid to a valuation, description and forecasting model based on the calculation of the Dynamic Conditional Correlation (DCC) in a Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) process on the time series of credit default swaps (CDS).Findings: The empirical analysis and calculations carried out have verified the significance of the parameters and confirmed the conditional dynamic correlation between the economies of the Brics “expanded”, especially in the presence of shocks, which also involve mutual contagion (temporary increase in DCC) and even interdependence (increasing DCC leads to new, less unstable levels).Implications/Originality/Value: The research offers a look at the most current trends in terms of international economic balances and the entire global system, focusing on commodity markets, financial derivatives and the impacts of trade at the dawn of the new BRICS-plus coalition.

Keywords: BRICS-plus Economies; Commodity Markets; Volatility Analysis; GARCH-DCC Model; Macroeconomic Dynamics (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://publishing.globalcsrc.org/ojs/index.php/jbsee/article/view/3055/1755 (application/pdf)

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:src:jbsree:v:10:y:2024:i:2:p:269-288

DOI: 10.26710/jbsee.v10i2.3055

Access Statistics for this article

More articles in Journal of Business and Social Review in Emerging Economies from CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Dr. Ghulam Shabir ().