The propagation of financial turbulence: interdependence, spillovers, and direct and indirect effects
Download (511.32 kB)
-
Altmetric Citations
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]
dc.contributor.author | Jing, Zhongbo | |
---|---|---|
dc.contributor.author | Elhorst, J. Paul | |
dc.contributor.author | Jacobs, Jan | |
dc.contributor.author | de Haan, Jakob | |
dc.date.accessioned | 2019-04-18T06:23:06Z | |
dc.date.available | 2019-04-18T06:23:06Z | |
dc.identifier.issn | 0377-7332 | |
dc.identifier.uri | http://hdl.handle.net/1885/160457 | |
dc.description.abstract | 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 pairs of countries independent of shocks. Using annual data of 40 countries from 2003 to 2010, we find that interdependence and spillover effects should be jointly analyzed. Furthermore, our results suggest that the capital flows channel is more important than the other two channels in capturing propagation of financial turbulence. By deriving what is known in the spatial econometrics literature as direct and indirect effect estimates, we show that the marginal effects of macroeconomic variables (like GDP growth, inflation, and credit growth) on financial turbulence take different forms during a crisis than in tranquil periods. | |
dc.description.sponsorship | Zhongbo Jing thanks the National Natural Science Foundation of China (NSFC Grant Numbers: 71532013, 71273257, 71401188, and 71503290) and CUFE Young Researcher Development Fund (QJJ1619) for support | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_AU | |
dc.publisher | Springer Verlag | |
dc.rights | © The Author(s) 2017 | |
dc.source | Empirical Economics | |
dc.title | The propagation of financial turbulence: interdependence, spillovers, and direct and indirect effects | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 55 | |
dc.date.issued | 2018 | |
local.identifier.absfor | 140302 - Econometric and Statistical Methods | |
local.identifier.absfor | 140207 - Financial Economics | |
local.identifier.ariespublication | u4485658xPUB1791 | |
local.publisher.url | https://link.springer.com | |
local.type.status | Published Version | |
local.contributor.affiliation | Jing, Zhongbo, Central University of Finance and Economics | |
local.contributor.affiliation | Elhorst, J. Paul, University of Groningen | |
local.contributor.affiliation | Jacobs, Jan, College of Asia and the Pacific, ANU | |
local.contributor.affiliation | de Haan, Jakob, University of Groningen | |
local.bibliographicCitation.issue | 1 | |
local.bibliographicCitation.startpage | 169 | |
local.bibliographicCitation.lastpage | 192 | |
local.identifier.doi | 10.1007/s00181-017-1249-y | |
local.identifier.absseo | 940304 - International Political Economy (excl. International Trade) | |
local.identifier.absseo | 910103 - Economic Growth | |
dc.date.updated | 2019-03-12T07:30:48Z | |
local.identifier.scopusID | 2-s2.0-85017021875 | |
local.identifier.thomsonID | 000439921400009 | |
dc.provenance | This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. | |
Collections | ANU Research Publications |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Jing_The_propagation_of_financial_2018.pdf | 511.32 kB | Adobe PDF |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator