Analysing interconnectivity among economies

Alfred Y-T. Wong and Tom Fong ()

Emerging Markets Review, 2011, vol. 12, issue 4, 432-442

Abstract: As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among financial entities at various levels is multilateral in dimension and highly complicated with numerous feedback loops. To contribute to the understanding of the complexity of the global financial system, this study shows how the interconnected relationships can be disentangled into simple and quantifiable bilateral interdependence linkages, using 11 Asia-Pacific economies as an example. A major finding is that all these economies register a significantly higher sovereign risk once the condition that another economy is in distress is imposed.

Keywords: Financial integration; Interconnectivity; Sovereign risk; Credit risk; Value-at-risk; Systemic risk; Contagion; Spillover; Tail risk; Asia Pacific; Quantile regression (search for similar items in EconPapers)
JEL-codes: F34 G13 G15 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Working Paper: Analysing Interconnectivity among Economies (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:12:y:2011:i:4:p:432-442

DOI: 10.1016/j.ememar.2011.06.004

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