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    Wyświetlanie 1-4 z 4
    Tytuł:
    The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide
    Autorzy:
    Lv, Shengnan
    Xu, Zeshui
    Fan, Xuecheng
    Qin, Yong
    Skare, Marinko
    Powiązania:
    https://bibliotekanauki.pl/articles/22443105.pdf
    Data publikacji:
    2023
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    financial cycles
    financial connectedness
    financial crisis
    systemic risk
    Opis:
    Research background: The globalization trend has inevitably enhanced the connectivity of global financial markets, making the cyclicality of financial activities and the spread of market imbalances have received widespread attention, especially after the global financial crisis. Purpose of the article: To reduce the negative effects of the contagiousness of the financial cycles, it is necessary to study the persistence of financial cycles and carve out the total connectedness, spillover paths, and sources of risks on a global scale. In addition, understanding the relationship between the financial cycle and economic development is an important way to prevent financial crises. Methods: This paper adopts the nonlinear smoothing transition autoregressive (STAR) model to extract cyclical and phase characteristics of financial cycles based on 24 countries during 1971Q1?2015Q4, covering developed and developing countries, the Americas, Europe, and Asia regions. In addition, the frequency connectedness approach is used to measure the connectedness of financial cycles and the relationship between the global financial cycle and the global economy. Findings & value added: The analysis reveals that aggregate financial cycles persist for 13.3 years for smoothed and 8.7 years for unsmoothed on average. The national financial cycles are asynchronous and exhibit more prolonged expansions and faster contractions. The connectedness of financial cycles is highly correlated with systemic crises and contributes to the persistence and harmfulness of shocks. It is mainly driven by short-term components and exhibits more pronounced interconnectedness within regions than across regions. During the financial crisis, the global financial cycle movements precede and are longer than the business fluctuations. Based on the study, some policy implications are presented. This paper emphasizes the impact of systemic crises on the persistence of financial cycles and their connectedness, which contributes to refining research related to the coping mechanisms of financial crises.
    Źródło:
    Equilibrium. Quarterly Journal of Economics and Economic Policy; 2023, 18, 1; 11-47
    1689-765X
    2353-3293
    Pojawia się w:
    Equilibrium. Quarterly Journal of Economics and Economic Policy
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China
    Autorzy:
    Zeng, Hongjun
    Lu, Ran
    Ahmed, Abdullahi D.
    Powiązania:
    https://bibliotekanauki.pl/articles/22443106.pdf
    Data publikacji:
    2023
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    South Asia and China
    gold
    Bitcoin
    dependency and connectedness
    COVID-19
    Opis:
    Research background: In order to examine market uncertainty, the paper depicts broad patterns of risk and systematic exposure to global equity market shocks for the major South Asian and Chinese equity markets, as well as for specific assets (gold and Bitcoin). Purpose of the article: The purpose of this paper is to investigate the dynamic correlation among the major South Asian equity markets (India and Pakistan), the Chinese equity markets, the MSCI developed markets, Bitcoin, and gold markets. Methods: While applying the GARCH-Vine-Copula model and the TVP-VAR Connectedness approach, major patterns of dependency and interconnectedness between these markets are investigated. Findings & value added: We find that risk shocks from developed equity markets are critical in these dynamic links. A net return spillover from Bitcoin to the Chinese and Pakistani stock markets throughout the sample period is reported. Interestingly, gold can be applied to hedge and diversify positions in China and major South Asian markets, particularly following the COVID-19 outbreak. Our paper presents three main original add valued: (1) This paper adds global factors to the targeted study of risk transmission among South Asian and Chinese stock markets for the first time. (2)The assets of Bitcoin and gold were added to the study of risk transmission among South Asian and Chinese stock markets for the first time, enabling the research in this paper to observe the non-linear link among the South Asian and Chinese stock markets with them. (3) Our research adds to these lines of inquiry by giving empirical evidence on how COVID-19 altered the dependent structure and return spillover dynamics of Bitcoin, gold and South Asian and Chinese stock markets for the first time. Our results have critical implications for investors and policymakers to effectively understand the nature of market forces and develop risk-averse strategies.
    Źródło:
    Equilibrium. Quarterly Journal of Economics and Economic Policy; 2023, 18, 1; 49-87
    1689-765X
    2353-3293
    Pojawia się w:
    Equilibrium. Quarterly Journal of Economics and Economic Policy
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Evaluation of the post-crisis EU banking network connectedness in the global context
    Autorzy:
    Legenzova, Renata
    Gaigalienė, Asta
    Jurakovaitė, Otilija
    Powiązania:
    https://bibliotekanauki.pl/articles/19090891.pdf
    Data publikacji:
    2019
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    network analysis
    financial connectedness
    regionalization
    EU banking network
    global banking network
    Opis:
    Research background: The global banking network has been undergoing structural changes since the recent financial crisis. Previous studies on connectedness of global banking network during post-crisis period revealed the trends of regionalization and segmentation. Our previous research has also shown that during post-crisis period the level of regionalization within the EU banking network has increased; the network became more clustered and more decentralized. This paper continues our research of structural changes of EU banking network during post-crisis period by adding a global context and questioning the connectedness of EU banking network within global banking system. Purpose of the article: The aim of the paper is to evaluate the EU banking network's connectedness in the global context during the post-crisis period. Methods: network analysis method and data on yearly flows of BIS bilateral interbank cross-border claim were used to evaluate the connectedness of global and EU banking systems. Findings & Value added: Evaluation of the global banking network's connected-ness revealed that global banking network density decreased by 4.50 %, suggesting that connectedness is decreasing, but it is happening slowly. Structural changes in the global banking network did happen during post-crisis period with regards to out-degree, betweenness and closeness centrality indicators. In the global context, the EU banking network became more connected during post-crisis period. The EU banking network was regionalized in 2011, but this regionalization disappeared in 2015, as the level of intraregional density decreased in 2015 and became lower than the interregional density. This research contributes to previous research in a way that it applies intraregional and interregional network density measures for evaluation of the EU banking network's connectedness, and analyses it as a subset of the global banking network.
    Źródło:
    Oeconomia Copernicana; 2019, 10, 1; 37-53
    2083-1277
    Pojawia się w:
    Oeconomia Copernicana
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Assessment of EU banking network regionalization during post-crisis period
    Autorzy:
    Gaigaliene, Asta
    Jurakovaite, Otilija
    Legenzova, Renata
    Powiązania:
    https://bibliotekanauki.pl/articles/19079550.pdf
    Data publikacji:
    2018
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    cross-border banking
    regionalization
    network analysis
    financial connectedness
    EU banking network
    Opis:
    Research background: Recent financial crisis of 2007-2008 has influenced global banking system and led to reduction of cross-border bank lending in the EU and worldwide. Global banking network has been analysed extensively in prior or post-crisis periods, but the literature on regionalization is scarce, especially with regard to the banking sector in the EU. Moreover, in previous empirical research evaluation of banking sector regionalization using network analysis methodology has not been yet applied. Purpose of the article: The aim of the article is to map the EU banking network and to assess its regionalization during post-crisis period. Methods: the paper employs comparative literature analysis and synthesis; BIS bilateral interbank cross-border claim yearly flows matrix data and network analysis method (including network mapping, structural and comparative analysis and the data of intraregional and interregional banking network matrices) to assess the changes in regionalization of the EU banking system. Findings & Value added: The results of the research show that during post-crisis period both, EU 12 and EU 28, banking networks became more clustered and more decentralized; also the level of regionalization within the EU banking network increased. Such results prove that the EU banking network has undergone structural changes with respect to bilateral interbank cross-border claims. This research adds to the knowledge of regionalization processes within the EU banking network during the post-crisis period and intends to be beneficial for market participants, EU level governmental bodies and financial policy makers.
    Źródło:
    Oeconomia Copernicana; 2018, 9, 4; 655-675
    2083-1277
    Pojawia się w:
    Oeconomia Copernicana
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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