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Analysing Interconnectivity among Economies

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Author Info

  • Alfred Wong

    (Research Department, Hong Kong Monetary Authority)

  • Tom Fong

    (Research Department, Hong Kong Monetary Authority)

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    Abstract

    As 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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    File URL: http://www.hkma.gov.hk/media/eng/publication-and-research/research/working-papers/HKMAWP10_03_full.pdf
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    Bibliographic Info

    Paper provided by Hong Kong Monetary Authority in its series Working Papers with number 1003.

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    Length: 16 pages
    Date of creation: May 2010
    Date of revision:
    Handle: RePEc:hkg:wpaper:1003

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    Related research

    Keywords: Sovereign risk; Credit Risk; Value-at-Risk; Systemic Risk; Contagion; Spillover; Tail Risk; Asia Pacific; Quantile Regression;

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