Analysing Interconnectivity among Economies
AbstractAs international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among financial entities at various levels is multilateral in dimension and highly complicated with numerous feedback loops. To contribute to the understanding of the complexity of the global financial system, this study shows how the interconnected relationships can be disentangled into simple and quantifiable bilateral interdependence linkages, using 11 Asia-Pacific economies as an example. A major finding is that all these economies register a significantly higher sovereign risk once the condition that another economy is in distress is imposed.
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Bibliographic InfoPaper provided by Hong Kong Monetary Authority in its series Working Papers with number 1003.
Length: 16 pages
Date of creation: May 2010
Date of revision:
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Sovereign risk; Credit Risk; Value-at-Risk; Systemic Risk; Contagion; Spillover; Tail Risk; Asia Pacific; Quantile Regression;
Find related papers by JEL classification:
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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