Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data

doi:10.1016/j.najef.2018.09.004

CASISD OpenIR

	Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data
	Ji, Qiang; Liu, Bing-Yue; Cunado, Juncal; Gupta, Rangan
发表期刊	NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
摘要	This paper analyses the risk spillover effect between the US stock market and the remaining G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying copula models with Markov switching and data that covers more than 100 years. The main results suggest that the dependence structure varies with time and has distinct high and low dependence regimes. Our findings verify the existence of risk spillover between the US stock market and the remaining G7 stock markets. Furthermore, the results imply the following: 1) abnormal spikes of dynamic CoVaR were induced by well-known historical economic shocks; 2) The value of upside risk spillover is significantly larger than the downside risk spillover and 3) The magnitudes of risk spillover from the remaining G7 countries to the US are significantly larger than that from the US to these countries.
	2020
卷号	51
DOI	10.1016/j.najef.2018.09.004
语种	英语
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/9817
专题	中国科学院科技战略咨询研究院
推荐引用方式 GB/T 7714	Ji, Qiang,Liu, Bing-Yue,Cunado, Juncal,et al. Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2020,51.
APA	Ji, Qiang,Liu, Bing-Yue,Cunado, Juncal,&Gupta, Rangan.(2020).Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,51.
MLA	Ji, Qiang,et al."Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 51(2020).