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Emerging Market Volatility Spillovers

Apostolos Serletis () and Nahiyan Faisal Azad

The American Economist, 2020, vol. 65, issue 1, 78-87

Abstract: We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs), retrieved from Yahoo! Finance, for seven emerging market countries—China, Colombia, Greece, Mexico, Russia, South Africa, and South Korea. We find statistically significant volatility spillovers from emerging market economies to the United States, meaning that the growth prospects of emerging market economies are becoming extremely relevant for global economic growth. JEL classification : E32, F20, F42

Keywords: business cycles; emerging markets; spillovers (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:sae:amerec:v:65:y:2020:i:1:p:78-87

DOI: 10.1177/0569434518816445

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