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Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality

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  • Zhang, Ping
  • Yin, Shiqi
  • Sha, Yezhou

Abstract

This study examined the global systemic risk network connectedness during the COVID-19 pandemic by focusing on the stock, bond, and foreign exchange markets of 14 countries (2000–2021). We found that the commonality among multiple markets was high, while the systemic risk of COVID-19 was smaller than that of the 2007–2008 financial crisis. Additionally, the exposure of bond markets to systemic risk was larger than the exchange rate and stock markets. Although the stock and bond markets were the main sources of risk during the pandemic, the foreign exchange market had the strongest connection with the global financial network.

Suggested Citation

  • Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513
    DOI: 10.1016/j.intfin.2023.101783
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