کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5103285 | 1480107 | 2017 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
This study examines the interdependence and contagion among US industry-level credit markets. We use daily data of 11 industries from 17 December 2007 to 31 December 2014 for the time-frequency, namely, wavelet squared coherence analysis. The empirical analysis reveals that Basic Materials (Utilities) industry credit market has the highest (lowest) interdependence with other industries. Basic Materials credit market passes cyclical effect to all other industries. The little “shift-contagion” as defined by Forbes and Rigobon (2002) is examined using elliptical and Archimedean copulas on the short-run decomposed series obtained through Variational Mode Decomposition (VMD). The contagion effects between US industry-level credit markets mainly occurred during the global financial crisis of 2007-08.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 466, 15 January 2017, Pages 310-324
Journal: Physica A: Statistical Mechanics and its Applications - Volume 466, 15 January 2017, Pages 310-324
نویسندگان
Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Ronald Ravinesh Kumar, Walid Mensi,