Extreme risk spillovers across financial markets under different crises

被引:20
作者
Cao, Yufei [1 ]
机构
[1] Fudan Univ, Shanghai Lixin Univ Accounting & Finance, Shanghai, Peoples R China
关键词
Extreme risk spillovers; Extreme financial events; Peak-over-threshold models; Value at risk; Conditional value at risk; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; SYSTEMIC RISK; SPATIAL CONTAGION; DEPENDENCE; TIME; DYNAMICS; BRICS; COVAR; US;
D O I
10.1016/j.econmod.2022.106026
中图分类号
F [经济];
学科分类号
02 ;
摘要
We examine how extreme risk spillovers caused by different crises transmit through financial markets in the US, Europe and Asia-Pacific regions. By modifying the bivariate peak-over-threshold and DCC-GARCH models and using daily negative log-returns from November 1991 to August 2020, we find significant bidirectional extreme risk spillovers with persistent effects between US and other markets. Contributions to extreme risk spillovers vary across crises. The recent COVID-19 shock (non-financial channel) and the 2007-2008 global crisis (financial channel) contribute more to extreme risk spillovers. Moreover, the extreme spillovers in the COVID-19 shock depend more on the non-financial channel compared to the global crisis and cause larger contributions to extreme losses, showing the impact of the non-financial shocks on financial markets.
引用
收藏
页数:19
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