Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries

Abstract

This paper uses a complex structure of factors of exposure to international shocks for the analysis of regional and inter‐regional effects of a variety of financial shocks across Organization for Economic Co‐operation and Development (OECD) economies. Those factors (trade, finance, migration and others) are incorporated in a coherent and comparable scheme which, based on observed data, describes pair‐wise, directionally asymmetric exposures to foreign economies in the sample. Through a global vector auto‐regressive setting, a systemic approach characterizes our modelling by the means of which several standardized shocks are simulated varying the region of origin to compare their effects and spillovers. In the depicted map of risks, the shocks are of particular relevance to both wholesale and retail credit markets, stock and commodities markets and also for the management of monetary and fiscal policies in open economies. The diversity of responses between OECD regions is useful to understand the asymmetric impacts and degrees of relative vulnerability towards disturbances in international markets. A subset of Eurozone countries, for example, consistently shows significant sensitivity to foreign shocks. Other Eurozone countries experience a lower degree of imported volatility while Asia‐Pacific appears to be more resilient to shocks in OECD regions. In turn, the significance of the impacts of shocks in the North American Free Trade Agreement region is large enough for them to be close representations of global shocks.

The impact of foreign direct investment on the economic development of emerging countries of the European Union

“…In the literature, there are a variety of econometric models related to FDI, which have a clearly definite degree of originality and arise special interest in anticipating some economic developments (Sevinc & Mata Flores, 2020).…”

Construction Strategy of Regional Investment and Financial Management System under Spatial Effect Modeling

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Does board structure affect stock price overshooting informativeness measured by stochastic oscillator indicators?

“…Consequently, when anticipating a higher level of future volatility at the market level, investors tend to price individual stocks in a way that produces a closer cluster around the market consensus (Voukelatos & Verousis, 2019). Besides, Sevinc and Mata Flores (2020) reveal that equity prices are associated with the future development of economy which capture the firms' expected profitability. Moreover, globalization has led to international financial markets becoming increasingly interconnected, meaning that equities display a high degree of co‐movement across countries (Caporale, Gil‐Alana, & Orlando, 2016).…”