Vulnerability to spillovers

Purba Mukerji ()
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Purba Mukerji: Connecticut College

Empirical Economics, 2018, vol. 55, issue 1, No 15, 323-348

Abstract: Abstract This paper quantifies the impact of common investors in creating vulnerability through international spillovers in the 1980s, 1990s and 2000s. A spillover is the impact on a country resulting from changes occurring abroad; domestic economy fundamentals are assumed to remain constant. The impact arises from a purely external shock because of changes in linked countries. A vulnerability index proposed by Kelejian and Mukerji (Pap Reg Sci 90(4):693–702, 2011) is used to measure the spillover. This paper proposes a novel method to split the vulnerability into two parts: one arising from international linkages and another from prevailing domestic conditions determining sensitivity to spillovers. Findings suggest a rising vulnerability index over successive decades, chiefly driven by international linkages.

Keywords: Spillovers; Vulnerability index; Country-level risk; Integration (search for similar items in EconPapers)
JEL-codes: C31 F32 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00181-017-1411-6

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