A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

Ge, Shuyi

doi:10.1016/j.jedc.2022.104565

Cited by 3 publications

(8 citation statements)

References 33 publications

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“…(2022), Kışla et al. (2022), and Ge (2023). The spatial autoregressive coefficient is significant and positive for the entire sample, core countries, and periphery countries.…”

Section: Discussionmentioning

confidence: 85%

“…The significance of ρ describes the situation where the dependent variable is specified jointly with that of its neighbors. Its positive sign indicates changes in SovCDSs commoved together during the period of study and that extreme events appear in clusters instead of in isolation (Ge, 2023; Tommaso et al. , 2023).…”

Section: Resultsmentioning

confidence: 99%

“…In the economic literature, the concept of contagion remains controversial, and there is widespread disagreement on its definition (Forbes and Rigobon, 2000; Shuyi, 2023). Pericoli and Sbracia (2003) discuss the five most representative definitions of contagion commonly used in the literature.…”

Section: Literature Reviewmentioning

confidence: 99%

“…(2018), Tommaso et al. (2023) and Ge (2023). It is described as an increased sensitivity to common risk factors such as global risk aversion.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Investors may believe that a crisis in one country may trigger a crisis in other countries because of the shifts in their attitude toward risk (Eichengreen and Mody, 2000). Shift contagion is analyzed by Flavin et al (2008), Giordano et al (2013), Caporin et al (2018), Tommaso et al (2023) and Ge (2023). It is described as an increased sensitivity to common risk factors such as global risk aversion.…”

Section: Literature Reviewmentioning

confidence: 99%

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Contagion in the Euro area sovereign CDS market: a spatial approach

Ben Abdallah,

Dabbou,

Gallali

2023

JRF

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PurposeThis paper explores whether the Euro-area sovereign credit default swap market is prone to contagion effects. It investigates whether the sharp increase in sovereign CDS spread of a given country is due to a deterioration of the macroeconomic variables or some form of contagion.Design/methodology/approachFor this purpose, the authors use an innovative approach, i.e. spatial econometrics. Although modeling spatial dependence is an attractive challenge, its application in the field of finance remains limited.FindingsThe empirical findings show strong evidence of spatial dependence highlighting the presence of pure contagion. Furthermore, evidence of wake-up call contagion-increased sensitivity of investors to fundamentals of neighboring countries and shift contagion-increased sensitivity to common factors are well recorded.Originality/valueThis study aims to study a crucial financial issue that gained increased research interest, i.e. financial contagion. A methodological contribution is made by extending the standard spatial Durbin model (SDM) to analyze and differentiate between several forms of contagion. The results can be used to understand how shocks are spreading through countries.

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“…(2022), Kışla et al. (2022), and Ge (2023). The spatial autoregressive coefficient is significant and positive for the entire sample, core countries, and periphery countries.…”

Section: Discussionmentioning

confidence: 85%

Section: Resultsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

“…(2018), Tommaso et al. (2023) and Ge (2023). It is described as an increased sensitivity to common risk factors such as global risk aversion.…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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Contagion in the Euro area sovereign CDS market: a spatial approach

Ben Abdallah,

Dabbou,

Gallali

2023

JRF

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Untitled

2023

Terra Econ.

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Журнал зарегистрирован Федеральной службой по надзору в сфере связи и массовых коммуникаций 16 января 2009 г. Свидетельство о регистрации средств массовой информации ПИ № ФС77-34982 Журнал издается с 2003 г., выходит 4 раза в год. Подписной индекс 81958 Журнал включен в перечень ВАК Министерства образования и науки РФ ведущих научных журналов и изданий, в которых должны быть опубликованы основные научные результаты диссертаций на соискание ученой степени доктора экономических наук До 2009 г. -Экономический вестник Ростовского государственного университета Адрес учредителя:

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Financial contagion from oil shocks during the pandemic: A cross-sector analysis

Малкина

2023

Terra Econ.

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Financial contagion in a broad sense is a change in the links between markets during the period of exposure to external shocks. Having initially hit one market, the shock is transmitted through various channels (trading, financial, informational, etc.) to other markets. This paper addresses an underresearched issue of contagion effect in Russia resulting from oil shock during the COVID-19 pandemic. We used data on the inter-sessional return of Brent oil futures and 8 Moscow Exchange Sector Indices for the period from 1 January 2019 to 23 February 2022. We apply the method of moments, which includes four types of tests for the joint distribution of two assets returns: correlation and correcting for heteroskedasticity, coasymmetry, cokurtosis and covolatility. The shock period was identified using the sliding coefficient of variation in the return of oil futures and the MOEX Russia Index. The study confirmed the contagion of almost all sectors of the Russian economy during the acute phase of the pandemic. In this period, the transport and telecommunications industries were the most vulnerable to the oil shock, and the least vulnerable ones were metallurgy, chemistry, and energy. However, the calculation of the dynamic co-moments of returns showed that in the recovery period of the Russian economy, contagion continued -there was a change in the fundamental links between the sectors of the Russian economy and the oil market. In general, for the entire period covered by our research, the transport industry, as well as the oil and gas industry, energy and the consumer sector, were most affected. Metallurgy, the financial sector and the telecommunications industry turned out to be less sensitive to oil market shocks. Our findings can be helpful in strengthening the resilience of Russian economy to external shocks.

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A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

Cited by 3 publications

References 33 publications

Contagion in the Euro area sovereign CDS market: a spatial approach

Contagion in the Euro area sovereign CDS market: a spatial approach

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Financial contagion from oil shocks during the pandemic: A cross-sector analysis

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