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The propagation of financial turbulence: interdependence, spillovers, and direct and indirect effects

Jing, Zhongbo; Elhorst, J. Paul; Jacobs, Jan; de Haan, Jakob


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]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
Source: Empirical Economics
DOI: 10.1007/s00181-017-1249-y


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