Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis

Anwer, Zaheer; Naeem, Muhammad Abubakr; Hassan, M. Kabir; Karim, Sitara

doi:10.1016/j.frl.2022.102782

Cited by 42 publications

(14 citation statements)

References 30 publications

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“…Initially, a spike during the end of 2008 echoes GFC when the financial crisis originated from the US-based financial giant—Lehman Brothers—suffered the severest economic downturn. Aligning our results with Alawi et al ( 2022 ), Anwer et al, ( 2022 ), Tiwari et al ( 2021 ), Karim and Naeem ( 2022 ), Karim et al ( 2022c , 2022d , 2022e ), and Shahzad et al ( 2021 ), the global financial crisis created massive havoc across financial markets, which intensified the overall risk of markets. The second subsequent peak appeared in the graph by the end of 2011, reverberating the financial contagion of the European Debt Crisis (EDC).…”

Section: Resultssupporting

confidence: 85%

“…Initially, a spike during the end of 2008 echoes GFC when the financial crisis originated from the US-based financial giant-Lehman Brothers-suffered the severest economic downturn. Aligning our results with Alawi et al (2022), Anwer et al, (2022), Tiwari et al (2021), , Karim et al (2022c, 2022e), and Shahzad et al (2021, the global financial crisis created massive havoc (Blundell-Wignall, 2012). This crisis emphasized that the European Economy underwent harsh circumstances due to inaccuracies in the balance sheet and current accounts that ultimately lifted the SNRI in the plot.…”

Section: Systematic Network Risk Index (Snri)supporting

confidence: 81%

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Systemic risk contagion of green and Islamic markets with conventional markets

et al. 2023

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Financial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments.

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Section: Resultssupporting

confidence: 85%

Section: Systematic Network Risk Index (Snri)supporting

confidence: 81%

Systemic risk contagion of green and Islamic markets with conventional markets

et al. 2023

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“…Evidence that the Australian forex market was the most important (net-)emitter of systemic risk is consistent with what Anwer et al [ 54 ] uncovered from their investigation on spillovers across the Asian-Pacific forex markets during the periods of the Asian and global financial crises and COVID-19. See also Polat [ 52 ], who only gave attention to advanced forex markets with the most active trading.…”

Section: Resultssupporting

confidence: 85%

“…Although the forex markets of the advanced economies have large dominance, it is still important to include the forex markets of the emerging economies in systemic risk management. Bouri et al [ 53 ] and Anwer et al [ 54 ] have taken this notion into consideration by adopting the extended volatility spillover network, but they focused only on the Asian-Pacific forex markets. To obtain a complete picture of the tail risk interconnectedness across all the global forex markets, we attempt to apply our proposed method to the forex markets of the advanced and emerging economies worldwide.…”

Section: Introductionmentioning

confidence: 99%

Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets

et al. 2022

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In a financial system, entities (e.g., companies or markets) face systemic risk that could lead to financial instability. To prevent this impact, we require quantitative systemic risk management we can carry out using conditional value-at-risk (CoVaR) and a network model. The former measures any targeted entity’s tail risk conditional on another entity being financially distressed; the latter represents the financial system through a set of nodes and a set of edges. In this study, we modify CoVaR along with its multivariate extension (MCoVaR) considering the joint conditioning events of multiple entities. We accomplish this by first employing a multivariate Johnson’s SU risk model to capture the asymmetry and leptokurticity of the entities’ asset returns. We then adopt the Cornish–Fisher expansion to account for the analytic higher-order conditional moments in modifying (M)CoVaR. In addition, we attempt to construct a conditional tail risk network. We identify its edges using a corresponding Delta (M)CoVaR reflecting the systemic risk contribution and further compute the strength and clustering coefficient of its nodes. When applying the financial system to global foreign exchange (forex) markets before and during COVID-19, we revealed that the resulting expanded (M)CoVaR forecast exhibited a better conditional coverage performance than its unexpanded version. Its superior performance appeared to be more evident over the COVID-19 period. Furthermore, our network analysis shows that advanced and emerging forex markets generally play roles as net transmitters and net receivers of systemic risk, respectively. The former (respectively, the latter) also possessed a high tendency to cluster with their neighbors in the network during (respectively, before) COVID-19. Overall, the interconnectedness and clustering tendency of the examined global forex markets substantially increased as the pandemic progressed.

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“…Similarly, the findings imply that in African nations, the growth rate is similarly important for environmental sustainability. A study by, (Guo et al, 2021;Wang et al, 2018) validates this result, claiming that as long as companies and industries follow environmental rules and regulations, environmental preservation will be included in the manufacturing process (Naz et al, 2022;Alawi et al, 2022;Anwer et al, 2022). Increased energy use in African countries is diminishing environmental efficiency, according to the findings.…”

Section: Empirical Results and Discussionmentioning

confidence: 68%