Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach

Evgenidis, Anastasios; Τσαγκανός, Αθανάσιος

doi:10.1016/j.irfa.2017.03.003

Cited by 41 publications

(13 citation statements)

References 32 publications

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“…Therefore, the nonlinearity of responses in favor of turbulent periods of financial conditions is observed. This is not surprising, as during periods of high financial stress, the impact of financial stress shocks on economic activity is different from the impact in normal economic conditions (see, e.g., Evgenidis & Tsagkanos, 2017). Moreover, looking at the left panel of Figure 2b that represents the responses to financial stress shocks in high and low regimes of inventory, we find that the responses to financial stress shocks are slightly bigger in low inventory regimes, but this nonlinearity in responses is not large and strong.…”

Section: Resultsmentioning

confidence: 99%

“…Moreover, as Nazlioglu, Soytas, and Gupta (2015) argue, the oil price and financial stress are related through their impact on economic activity and on investors’ behavior. The effect of financial shocks is found to be asymmetric, depending on whether the economy is in a high or a normal financial stress period (Evgenidis & Tsagkanos, 2017; Nazlioglu et al, 2015). Sari, Soytas, and Hacihasanoglu (2011) show that a higher uncertainty in stock markets adversely affects the energy futures prices, and Cheng, Kirilenko, and Xiong (2015) used the volatility index (VIX) to predict changes in trading patterns in the commodity futures markets.…”

Section: Introductionmentioning

confidence: 99%

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The theory of storage in the crude oil futures market, the role of financial conditions

Ahmadi

Behmiri

Manera

2020

Journal of Futures Markets

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This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theory of storage in the crude oil market. Second, the basis rises with financial instability, and this effect is higher during turbulent regimes. These results warn the oil market participants that, to make decisions based on the basis variation, traditionally known as a signal of scarcity or abundance, the underlying cause of the variation has to be considered.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The theory of storage in the crude oil futures market, the role of financial conditions

Ahmadi

Behmiri

Manera

2020

Journal of Futures Markets

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“…Interestingly, the latter has no impact on the European CLIFS indices. The result does not necessarily question the findings, for instance, by Apostolakis and Papadopoulos (2014) as well as Evgenidis and Tsagkanos (2017) who accentuate the role of the USA as a major financial risk propagator among advanced economies. Rather, it may stem from the fact that the VIX index produces a contemporaneous, but stronger effect on real economic activity compared to national financial stress, thereby masking the effect of the latter.…”

Section: Country‐level Resultsmentioning

confidence: 54%

Macrofinancial linkages in Europe: Evidence from quantile local projections

Stolbov

Shchepeleva

2020

Int. J Fin Econ

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The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture a presumably nonlinear nature of these linkages by building on different quantiles of the data series and estimating impulse responses from smooth local projections (Barnichon and Brownlees, Review of Economics and Statistics, 101(3), 522–530, 2019). Our results legitimize such approach as the number of statistically significant impulse responses based on this approach is skewed towards upper (75th and 90th) quantiles. We find that global economic policy uncertainty index dampens the growth rates of industrial production in Austria, France, Italy, Luxembourg and Slovakia, which calls for specific measures to mitigate this adverse effect at the national level, for example, by curtailing yellow journalism, populist ideas and disbeliefs. However, there is only minor evidence for the relationship running between economic policy uncertainty and financial stress. Global geopolitical risk appears irrelevant in the country‐ and panel‐level analyses. Meanwhile, the VIX index performs a pervasive role in undermining industrial production and increasing economic policy uncertainty in Europe.

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“…First, there has been a well-document period of austerity following the financial crises of c. 2008. The negative effects of financial stress on markets transmitted from one market to another (for example, the US to the Eurozone) are well documented by Evgenidis and Tsagkanos (2017) and Tsagkanos, Evgenidis and Vartholomatou (2018). Second, in 2015, the British Government allowed pension freedoms that allowed the newly retired to draw down lump sums of cash rather than the previous obligation to invest pension amounts into annuities.…”

Section: Introductionmentioning

confidence: 99%

Collective action and UK wine investment fraud

Einarsen

Jack

2019

QRFM

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Purpose The purpose of this paper is to examine the measures taken by legitimate wine investment companies and enforcement agencies to counter alternative investment scams. Design/methodology/approach The authors interviewed wine industry and law enforcement specialists to understand the nature of wine investment fraud and the characteristics of the victims. They also drew on secondary data in the form of government agency research and media sources. Findings The majority of wine investment frauds are boiler room operations, using social engineering techniques to draw victims into the fraud. The authors conclude that countering wine investment fraud requires public education by government, the wine industry and the police. Research limitations/implications This is a small-scale study that uses interviews with experts in the industry and in law enforcement and secondary data as evidence. Despite the limitations in the number of interviews, the authors are able to comment on the social impacts of alternative investment scams and suggest a theoretical basis for future work in the field. Practical implications The authors make a case for regulators and investors to be part of collective action through education and public awareness campaigns to combat alternative investment fraud. Originality/value The authors outline how collective action theory might be extended to investigate fraud prevention measures in other financial and commodity markets.

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Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach

Cited by 41 publications

References 32 publications

The theory of storage in the crude oil futures market, the role of financial conditions

The theory of storage in the crude oil futures market, the role of financial conditions

Macrofinancial linkages in Europe: Evidence from quantile local projections

Collective action and UK wine investment fraud

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