Analysing Interconnectivity among Economies

Alfred Wong and Tom Fong ()
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Alfred Wong: Research Department, Hong Kong Monetary Authority

No 1003, Working Papers from Hong Kong Monetary Authority

Abstract: As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among financial entities at various levels is multilateral in dimension and highly complicated with numerous feedback loops. To contribute to the understanding of the complexity of the global financial system, this study shows how the interconnected relationships can be disentangled into simple and quantifiable bilateral interdependence linkages, using 11 Asia-Pacific economies as an example. A major finding is that all these economies register a significantly higher sovereign risk once the condition that another economy is in distress is imposed.

Keywords: Sovereign risk; Credit Risk; Value-at-Risk; Systemic Risk; Contagion; Spillover; Tail Risk; Asia Pacific; Quantile Regression (search for similar items in EconPapers)
JEL-codes: F34 G13 G15 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2010-05
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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http://www.hkma.gov.hk/media/eng/publication-and-r ... HKMAWP10_03_full.pdf (application/pdf)

Related works:
Journal Article: Analysing interconnectivity among economies (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hkg:wpaper:1003

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