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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
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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

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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