Financial stress transmission between the U.S. and the Euro Area

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dc.authorscopusid57556036400
dc.authorscopusid26653963900
dc.authorscopusid8873464300
dc.authorscopusid6603729640
dc.contributor.authorAltınkeski, B.K.
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.contributor.authorKutan, A.M.
dc.date.accessioned2022-05-11T14:33:34Z
dc.date.available2022-05-11T14:33:34Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis 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.
dc.description.sponsorshipThe authors wish to thank Iftekhar Hasan (the Editor) and an anonymous referee fer very helpful comments without implicating them for any remaining errors. This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.
dc.identifier.doi10.1016/j.jfs.2022.101004
dc.identifier.issn1572-3089
dc.identifier.scopus2-s2.0-85127322108
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.jfs.2022.101004
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7804
dc.identifier.volume60
dc.identifier.wosWOS:000913134000001
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorAltınkeski, B.K.
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier B.V.
dc.relation.ispartofJournal of Financial Stability
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectFinancial crises
dc.subjectFinancial linkages
dc.subjectFinancial stress index
dc.subjectSystemic risk
dc.titleFinancial stress transmission between the U.S. and the Euro Area
dc.typeArticle

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