Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period

IF 1.2 Q3 BUSINESS, FINANCE

Journal of Emerging Market Finance Pub Date : 2023-02-05 DOI:10.1177/09726527221150539

Shivani Narayan, Dilip Kumar

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Abstract

The study investigates the systemic risk transmission from the US banking sector and the US market to the five most economically impacted Asian nations (Thailand, Malaysia, the Philippines, India, and Singapore) during the COVID-19 period of 2020. We consider the conditional value-at-risk (CoVaR) approach to estimate the systemic risk of the given economies at 5% quantile (for severe downturn risk) and 20% quantile (for moderate downturn risk). Our findings demonstrate a rise in systemic risk for these Asian countries in 2020, particularly in the first half of the year. The findings also provide evidence of the significant systemic risk transmission from the US banking sector and the US stock market to the majority of the given Asian economies at both quantiles. The study further highlights the significant contribution of the US financial market in increasing the systemic risk of the given Asian economies in 2020. We find similar results for systemic risk transmission from the UK, the European Union, and Japan to the given Asian economies. The findings have implications for market participants, risk managers, and regulators who are concerned with risk diversification and tracking the routes of risk shock transmission. JEL Codes: G10; G18; G20

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新冠肺炎期间美国向亚洲经济体的系统性风险传播

该研究调查了2020年新冠肺炎期间，美国银行业和美国市场向五个受经济影响最大的亚洲国家（泰国、马来西亚、菲律宾、印度和新加坡）的系统性风险传播。我们考虑条件风险值（CoVaR）方法来估计给定经济体的系统风险，分位数为5%（针对严重衰退风险）和20%（针对中度衰退风险）。我们的研究结果表明，2020年，特别是上半年，这些亚洲国家的系统性风险有所上升。研究结果还提供了证据，证明美国银行业和美国股市在这两个分位数上都向大多数特定的亚洲经济体传递了重大的系统性风险。该研究进一步强调了美国金融市场在2020年增加特定亚洲经济体系统性风险方面的重大贡献。我们发现，从英国、欧盟和日本到特定亚洲经济体的系统性风险传播也有类似的结果。这些发现对市场参与者、风险管理者和监管机构都有影响，他们关心风险分散和跟踪风险冲击传播的途径。JEL代码：G10；G18；G20

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来源期刊

Journal of Emerging Market Finance BUSINESS, FINANCE-

CiteScore

1.80

自引率

33.30%

发文量

期刊介绍： The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.