Financial stress transmission between the U.S. and the Euro Area
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Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier B.V.
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper examines financial stress transmission between the U.S. and the Euro Area. To better understand the linkages between financial stress in the two regions, we construct a financial stress index for the U.S. similar to the Composite Indicators of Systemic Stress (CISS) that has been developed for the Euro Area with a focus on systemic risk. Using weekly data from 2000 to 2021 and Granger predictability in distribution test, we analyze stress transmission in “normal” times as well as under unusually high and low stress episodes. While we document unilateral transmission from the U.S. to the Euro Area under normal conditions based on the center of the distribution, tail dependence tests and impulse response analysis show significant bilateral transmission, particularly in unusually high financial stress episodes. This holds true for aggregate indices as well as the subindicators of financial stress in various financial markets. As such, there must be global efforts to contain financial crises and ensure a strong and resilient financial system. © 2022 Elsevier B.V.
Açıklama
Anahtar Kelimeler
Financial crises, Financial linkages, Financial stress index, Systemic risk
Kaynak
Journal of Financial Stability
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
60
