کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084897 | 1477920 | 2014 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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![عکس صفحه اول مقاله: Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets](/preview/png/5084897.png)
چکیده انگلیسی
Even though the global contagion effects of the financial crisis have been well documented, the transmission mechanism as well as the nature of the volatility spillovers among the US, the EU and the BRIC markets has not been systematically investigated. To examine the dynamic linear and nonlinear causal linkages a stepwise filtering methodology is introduced, for which vector autoregressions and various multivariate GARCH representations are adopted. The sample covers the after-Euro period and includes the financial crisis and the Eurozone debt crisis. The empirical results show that the BRICs have become more internationally integrated after the US financial crisis and contagion is further substantiated. Moreover, no consistent evidence in support of the “decoupling” view is found. Some nonlinear causal links persist after filtering during the examined period. This indicates that nonlinear causality can, to a large extent, be explained by simple volatility effects, although tail dependency and higher-moments may be significant factors of the remaining interdependencies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 33, May 2014, Pages 58-69
Journal: International Review of Financial Analysis - Volume 33, May 2014, Pages 58-69
نویسندگان
Stelios D. Bekiros,