Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Journal of Multinational Financial Management Pub Date : 2021-06-01 DOI:10.1016/j.mulfin.2021.100681

Zhi Su , Fuwei Xu

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引用次数: 10

Abstract

A better understanding of financial contagion and systemically important financial markets will help market participants capture market information and assist regulators in preventing financial crises. We propose a ripple network based collective spillover effect approach to model the spread of financial contagion and analyze the systemic importance of financial markets. The crude oil market is taken as the source of financial contagion, and we analyze the path of the spread of contagion and systemic importance of 22 international financial markets. The empirical results show that financial contagion arising from the oil market spreads first to developed markets and then to developing markets. Thus, developed markets show the highest systemic importance, followed by developing markets, in the ripple-spreading process of financial contagion. Moreover, in terms of regions, the European and American markets have higher risk influence, but Asian markets have higher risk pressure.

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传染扩散中系统重要性金融市场的动态识别:基于涟漪网络的集体溢出效应方法

更好地了解金融传染和具有系统重要性的金融市场，将有助于市场参与者获取市场信息，并协助监管机构预防金融危机。我们提出了一种基于涟漪网络的集体溢出效应方法来模拟金融传染的传播，并分析了金融市场的系统重要性。以原油市场为金融传染源，分析了22个国际金融市场的传染路径和系统重要性。实证结果表明，石油市场引发的金融传染首先向发达市场扩散，然后向发展中市场扩散。因此，在金融危机的连锁蔓延过程中，发达市场表现出最高的系统重要性，其次是发展中市场。而且，从区域来看，欧美市场风险影响较大，但亚洲市场风险压力较大。

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.