The financial and fiscal stress interconnectedness: The case of G5 economies

Georgios Magkonis and Andreas Tsopanakis

International Review of Financial Analysis, 2016, vol. 46, issue C, 62-69

Abstract: In this paper, we focus on the financial and fiscal stress transmission for the G5 economies. Using financial and fiscal stress indexes, we assess the spillovers within each economy, as well as the cross-sectional effects. Two supplementary methodologies, measuring the degree of interconnectedness, are employed. Our findings indicate that the interactions between these two kinds of distress are intensive, especially during and after the Global Financial Crisis outbreak. The above reiterates the necessity for coordinated macroprudential policies, as a means to confine the adverse effects of excessive financial and fiscal stress.

Keywords: Financial stress; Fiscal stress; Spillover index; Causality index; Macroprudential policies (search for similar items in EconPapers)
JEL-codes: E44 F42 F47 G01 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:46:y:2016:i:c:p:62-69

DOI: 10.1016/j.irfa.2016.03.019

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