The propagation of financial turbulence: interdependence, spillovers, and direct and indirect effects
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Jing, Zhongbo; Elhorst, J. Paul; Jacobs, Jan; de Haan, Jakob
Description
We investigate the propagation of financial turbulence via trade, capital flows, and distance channels in the pre-crisis and Global Financial Crisis periods by modeling spillover and interdependence effects, using spatial econometric techniques. Financial turbulence is proxied by the ratio of nonperforming loans to total loans in a country. Spillover effects are defined as significant changes in the linkages between countries due to a shock, and interdependence effects as strong linkages among...[Show more]
Collections | ANU Research Publications |
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Date published: | 2018 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/160457 |
Source: | Empirical Economics |
DOI: | 10.1007/s00181-017-1249-y |
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01_Jing_The_propagation_of_financial_2018.pdf | 511.32 kB | Adobe PDF |
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