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Vulnerability to spillovers

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  • Purba Mukerji

    (Connecticut College)

Abstract

This paper quantifies the impact of common investors in creating vulnerability through international spillovers in the 1980s, 1990s and 2000s. A spillover is the impact on a country resulting from changes occurring abroad; domestic economy fundamentals are assumed to remain constant. The impact arises from a purely external shock because of changes in linked countries. A vulnerability index proposed by Kelejian and Mukerji (Pap Reg Sci 90(4):693–702, 2011) is used to measure the spillover. This paper proposes a novel method to split the vulnerability into two parts: one arising from international linkages and another from prevailing domestic conditions determining sensitivity to spillovers. Findings suggest a rising vulnerability index over successive decades, chiefly driven by international linkages.

Suggested Citation

  • Purba Mukerji, 2018. "Vulnerability to spillovers," Empirical Economics, Springer, vol. 55(1), pages 323-348, August.
    • Handle: RePEc:spr:empeco:v:55:y:2018:i:1:d:10.1007_s00181-017-1411-6
    DOI: 10.1007/s00181-017-1411-6
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    More about this item

    Keywords

    Spillovers; Vulnerability index; Country-level risk; Integration;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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