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Detecting signed spillovers in global financial markets: a Markov-switching approach

Citation

Kangogo, M and Volkov, V, Detecting signed spillovers in global financial markets: a Markov-switching approach, International Review of Financial Analysis, 82 Article 102161. ISSN 1057-5219 (2022) [Refereed Article]

Copyright Statement

2022 Elsevier Inc. All rights reserved.

DOI: doi:10.1016/j.irfa.2022.102161

Abstract

We examine the dynamics of the signed-spillover across financial markets using historical decomposition approach. By incorporating Markov-switching framework into the VAR model, this paper assesses the dynamics of signed-spillover during turbulent periods and period of tranquillity. Additionally, this approach enables us to detect the source and direction of the spillover and identify its signs. We show that this approach outperforms the classical single-regime spillover estimation by distinguishing shocks under different economic conditions. Specifically, we assess spillovers in global financial markets using realised variance between January 1999 and December 2017. Our empirical findings clearly indicate that spillovers are intense during period of turbulence and moderate during periods of tranquillity.

Item Details

Item Type:Refereed Article
Keywords:financial stability, spillover, financial markets, financial crises, spillovers, systemic risk
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, finance and investment
Research Field:Finance
Objective Division:Commercial Services and Tourism
Objective Group:Financial services
Objective Field:Financial services not elsewhere classified
UTAS Author:Kangogo, M (Dr Moses Kangogo)
UTAS Author:Volkov, V (Mr Vladimir Volkov)
ID Code:154127
Year Published:2022
Deposited By:Finance
Deposited On:2022-11-01
Last Modified:2022-12-01
Downloads:0

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