Bidirectional Risk Spillovers between Exchange Rate of Emerging Market Countries and International Crude Oil Price–Based on Time-varing Copula-CoVaR
Sign Up to like & getrecommendations! Published in 2021 at "Computational Economics"
DOI: 10.1007/s10614-021-10160-3
Abstract: This paper discusses the bidirectional risk spillover effect between the exchange rate of emerging market countries and International crude oil price. Firstly, the IFM two-step method is adopted to determine the marginal distribution and the… read more here.
Keywords: risk; oil price; risk spillovers; crude oil ... See more keywords
Cross-border systemic risk spillovers in the global oil system: Does the oil trade pattern matter?
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105395
Abstract: Abstract This paper focuses on the cross-border systemic risk spillovers influenced by oil trade patterns in the global oil system, which show negative externalities from a country that encounters shocks due to oil-related risk events… read more here.
Keywords: systemic risk; oil trade; risk spillovers; oil ... See more keywords
Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.
Sign Up to like & getrecommendations! Published in 2020 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2020.101544
Abstract: Abstract In this paper, we propose a novel approach to examine the risk spillovers between FinTech firms and traditional financial institutions, during a time of fast technological advances. Based on the stock returns of U.S.… read more here.
Keywords: risk; fintech traditional; spillovers fintech; risk spillovers ... See more keywords
Credit risk spillovers and cash holdings
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Corporate Finance"
DOI: 10.1016/j.jcorpfin.2021.101965
Abstract: Abstract This paper examines how credit risk spillovers affect corporate financial flexibility. We construct separate empirical proxies to disentangle the two channels of credit risk spillovers—credit risk contagion (CRC), where one firm's default increases the… read more here.
Keywords: risk spillovers; spillovers cash; credit risk; credit ... See more keywords
Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach
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DOI: 10.1057/s41260-017-0068-1
Abstract: This paper explores systemic risk spillovers between sovereign credit default swaps (CDS) returns in Europe during the period 2006–2016. We model spillovers using a spatial regression approach that allows us to analyze the effects of… read more here.
Keywords: risk; systemic risk; credit default; sovereign credit ... See more keywords
Exposure to Credit Risk Spillovers and Corporate Earnings Management
Sign Up to like & getrecommendations! Published in 2025 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2025.2469763
Abstract: ABSTRACT This study examines the impact of exposure to credit risk spillovers on corporate earnings management within the Chinese market. We distinguish between two types of credit risk spillovers: negative credit risk externalities from peers,… read more here.
Keywords: earnings management; credit risk; risk spillovers; credit ... See more keywords
Risk spillover across Chinese industries: novel evidence from multilayer connectedness networks
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DOI: 10.1108/k-09-2024-2488
Abstract: PurposePrevious research has predominantly concentrated on examining risk spillovers through single-layer networks, neglecting the multi-related and multilayer network characteristics of the economic system. This study constructs multilayer connectedness networks, including return, volatility and extreme risk… read more here.
Keywords: risk; multilayer connectedness; connectedness; chinese industries ... See more keywords
A study of systemic risk spillovers in Asian emerging markets and Chinese stock market
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DOI: 10.1371/journal.pone.0322381
Abstract: This study examines systemic risk spillover effects between China’s Shanghai Stock Exchange (SSE) and seven Asian emerging markets within the context of increasing global financial integration. Utilizing Quantile Regression and Conditional Value-at-Risk (CoVaR) methodologies, this… read more here.
Keywords: systemic risk; risk; asian emerging; emerging markets ... See more keywords
Ripple Effects of Climate Policy Uncertainty: Risk Spillovers Between Traditional Energy and Green Financial Markets
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DOI: 10.3390/su17125500
Abstract: This study employs the TVP-VAR-DY model to examine the risk spillover effects and dynamic interactions between traditional energy markets and green financial markets across both time and frequency domains. Furthermore, it evaluates the influence of… read more here.
Keywords: financial markets; energy; risk; policy ... See more keywords