The extreme risk connectedness of the global financial system: G7 and BRICS evidence

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2023-09-01 DOI:10.1016/j.mulfin.2023.100812

Ning Chen , Shaofang Li, Shuai Lu

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引用次数: 0

Abstract

Using daily money, stock, bond, foreign exchange, and credit markets data in the G7 and BRICS between 2006 and 2022, this paper investigates the extreme risk interconnectedness across countries and markets. Specifically, we propose a multilayer nonlinear extreme risk spillover network based on the CAViaR model and nonlinear Granger causality test to capture extreme risk spillovers across and within layers from static and dynamic perspectives, respectively. We find that the extreme risks of the G7 countries are higher than those of the BRICS countries. Simultaneously, extreme risks in the stock and foreign exchange markets are significantly higher than those in other markets. The stock market tends to be the net emitter of extreme risks, and the bond and credit markets tend to be the net recipients. During special event periods, BRICS countries (except Russia) tend to be net recipients of extreme risks. Our study provides new evidence on the interconnectedness of extreme risk across markets and countries, which has several practical implications for managing financial risks and maintaining the financial system’s stability.

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全球金融体系的极端风险关联性:G7和金砖国家的证据

本文利用2006年至2022年间七国集团和金砖国家的每日货币、股票、债券、外汇和信贷市场数据，调查了各国和市场之间的极端风险相互关联性。具体而言，我们提出了一个基于CAViaR模型和非线性Granger因果关系检验的多层非线性极端风险溢出网络，分别从静态和动态角度捕捉跨层和层内的极端风险溢出。我们发现，七国集团国家的极端风险高于金砖国家。与此同时，股票和外汇市场的极端风险明显高于其他市场。股票市场往往是极端风险的净排放者，债券和信贷市场往往是净接受者。在特殊活动期间，金砖国家（俄罗斯除外）往往是极端风险的净接受者。我们的研究为极端风险在不同市场和国家之间的相互联系提供了新的证据，这对管理金融风险和维护金融体系的稳定具有一些实际意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Multinational Financial Management BUSINESS, FINANCE-

CiteScore

7.30

自引率

4.80%

发文量

审稿时长

30 days

期刊介绍： International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.