Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model

Tinghui Li, Junhao Zhong and Zimei Huang

Emerging Markets Finance and Trade, 2020, vol. 56, issue 6, 1237-1250

Abstract: The characteristics and dependence structures of financial cycles have become a central issue in macroeconomic policy. Our study quantifies the dependence of financial cycles in emerging and developed countries in January 1993–December 2017. We fit the marginal distributions of the financial cycles by applying an ARIMA-GARCH model and capture the dependence structures by selecting the optimal copula model. Our main findings indicate that the financial cycle has obvious characteristics that can be roughly divided into three stages. ARIMA (2,1,2) and GARCH (1,1) are fit the marginal distribution of the financial cycle. Emerging countries show more interdependence and a higher degree of dependence than developed countries. Several important policy and economic implications can be drawn from the empirical results of this study.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2019.1611559 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:56:y:2020:i:6:p:1237-1250

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2019.1611559

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().