Detecting signed spillovers in global financial markets: A Markov-switching approach

Moses Kangogo and Vladimir Volkov

International Review of Financial Analysis, 2022, vol. 82, issue C

Abstract: We examine the dynamics of the signed-spillover across financial markets using historical decomposition approach. By incorporating Markov-switching framework into the VAR model, this paper assesses the dynamics of signed-spillover during turbulent periods and period of tranquillity. Additionally, this approach enables us to detect the source and direction of the spillover and identify its signs. We show that this approach outperforms the classical single-regime spillover estimation by distinguishing shocks under different economic conditions. Specifically, we assess spillovers in global financial markets using realised variance between January 1999 and December 2017. Our empirical findings clearly indicate that spillovers are intense during period of turbulence and moderate during periods of tranquillity.

Keywords: Financial stability; Spillover; Financial markets; Financial crises (search for similar items in EconPapers)
JEL-codes: C21 G01 G15 N25 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521922001259
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:finana:v:82:y:2022:i:c:s1057521922001259

DOI: 10.1016/j.irfa.2022.102161

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().