International tail risk connectedness: Network and determinants

Linh Hoang Nguyen and Brendan John Lambe

Journal of International Financial Markets, Institutions and Money, 2021, vol. 72, issue C

Abstract: We construct a complete network of directional tail risk connectedness for 32 countries within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression framework. In addition to highlighting the network’s essential features, including the key drivers and receivers of tail risk, we reveal some striking new network determinants. These include the predominant role of economy size, as well as the negative net impact of economic linkages such as trade and capital flows in addition to capital stocks on cross-country tail risk connectedness.

Keywords: Tail risk spillover; Contagion; International financial market; Economic linkage; Quantile regression (search for similar items in EconPapers)
JEL-codes: C31 F10 F21 G01 G10 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000512

DOI: 10.1016/j.intfin.2021.101332

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