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
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Asset Management"
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