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Emerging Market Volatility Spillovers

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  • Apostolos Serletis
  • Nahiyan Faisal Azad

Abstract

We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs), retrieved from Yahoo! Finance, for seven emerging market countries—China, Colombia, Greece, Mexico, Russia, South Africa, and South Korea. We find statistically significant volatility spillovers from emerging market economies to the United States, meaning that the growth prospects of emerging market economies are becoming extremely relevant for global economic growth. JEL classification : E32, F20, F42

Suggested Citation

  • Apostolos Serletis & Nahiyan Faisal Azad, 2020. "Emerging Market Volatility Spillovers," The American Economist, Sage Publications, vol. 65(1), pages 78-87, March.
    • Handle: RePEc:sae:amerec:v:65:y:2020:i:1:p:78-87
    DOI: 10.1177/0569434518816445
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    References listed on IDEAS

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    Cited by:

    1. Nahiyan Faisal Azad & Apostolos Serletis, 2020. "Monetary policy spillovers in emerging economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 664-683, October.
    2. Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020. "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 67-94, October –.

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    More about this item

    Keywords

    business cycles; emerging markets; spillovers;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F20 - International Economics - - International Factor Movements and International Business - - - General
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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