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Financial stress spillovers in advanced economies

Citations

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Cited by:

  1. Hoque, Mohammad Enamul & Billah, Mabruk & Kapar, Burcu & Naeem, Muhammad Abubakr, 2024. "Quantifying the volatility spillover dynamics between financial stress and US financial sectors: Evidence from QVAR connectedness," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  2. Stolbov, Mikhail & Shchepeleva, Maria, 2020. "Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference," Research in International Business and Finance, Elsevier, vol. 52(C).
  3. Fava, Santino Del & Gupta, Rangan & Pierdzioch, Christian & Rognone, Lavinia, 2024. "Forecasting international financial stress: The role of climate risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
  4. Cipollini, Andrea & Mikaliunaite, Ieva, 2020. "Macro-uncertainty and financial stress spillovers in the Eurozone," Economic Modelling, Elsevier, vol. 89(C), pages 546-558.
  5. Li, Zixuan & Long, Shaobo & Xu, Xiang, 2025. "Dynamic spillovers between global financial stress and uncertainties: Evidence from quantile connectedness," International Review of Economics & Finance, Elsevier, vol. 103(C).
  6. Long, Shaobo & Li, Zixuan, 2023. "Dynamic spillover effects of global financial stress: Evidence from the quantile VAR network," International Review of Financial Analysis, Elsevier, vol. 90(C).
  7. Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  8. Li, Jianglong & Xie, Chunping & Long, Houyin, 2019. "The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market," Energy Economics, Elsevier, vol. 84(C).
  9. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
  10. Jin Guo & Tetsuji Tanaka, 2019. "Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 5(1), pages 1-13, December.
  11. Elsayed, Ahmed H. & Yarovaya, Larisa, 2019. "Financial stress dynamics in the MENA region: Evidence from the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 20-34.
  12. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
  13. Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2025. "Unraveling Financial Fragility of Global Markets Using Machine Learning," Working Papers 202511, University of Pretoria, Department of Economics.
  14. Tiwari, Aviral Kumar & Cunado, Juncal & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility spillovers across global asset classes: Evidence from time and frequency domains," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 194-202.
  15. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
  16. Elsayed, Ahmed H. & Sohag, Kazi & Sousa, Ricardo M., 2024. "Oil shocks and financial stability in MENA countries," Resources Policy, Elsevier, vol. 89(C).
  17. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
  18. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
  19. Mikhail Stolbov & Maria Shchepeleva, 2021. "Macrofinancial linkages in Europe: Evidence from quantile local projections," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5557-5569, October.
  20. Hayet Soltani & Mouna Boujelbène Abbes, 2023. "The Predictive Power of Financial Stress on the Financial Markets Dynamics: Hidden Markov Model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 94-115, March.
  21. Mohammed T. Abusharbeh, 2022. "Determinants of credit risk in Palestine: Panel data estimation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3434-3443, July.
  22. Stona, Filipe & Morais, Igor A.C. & Triches, Divanildo, 2018. "Economic dynamics during periods of financial stress: Evidences from Brazil," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 130-144.
  23. Balcilar, Mehmet & Elsayed, Ahmed H. & Hammoudeh, Shawkat, 2023. "Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  24. Hayet Soltani & Mouna Boujelbène Abbes, 2025. "Regime-Specific Spillover Effects Between Financial Stress, GCC Stock Markets, Brent Crude Oil, and the Gold Market," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(2), pages 8840-8866, June.
  25. Evgenidis, Anastasios & Tsagkanos, Athanasios, 2017. "Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 69-81.
  26. Alper Gormus, N., 2016. "Do different time-horizons in volatility have any significance for the emerging markets?," Economics Letters, Elsevier, vol. 145(C), pages 29-32.
  27. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
  28. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
  29. Ashutosh Dash & Sangram Keshari Jena & Anirban Sengupta & Aviral Kumar Tiwari, 2026. "Structural Impact of the US Financial Stress on the Connectedness Between Asian Economies: Evidence From the Quantile Connectedness Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 674-704, January.
  30. Dar, Muzffar Hussain & Nain, Md Zulquar, 2024. "An analysis of economic stability and financial development in India using asymmetric cointegration and simulative causality tests," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).
  31. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
  32. Tom Pak Wing FongAuthor-Workplace-Name: Research Department, Hong Kong Monetary Authority & Ka Fai LiAuthor-Workplace-Name: Research Department, Hong Kong Monetary Authority & Angela Kin Wan Sze, 2016. "Measuring Spillovers between the US and Emerging Markets," Working Papers 082016, Hong Kong Institute for Monetary Research.
  33. Ahmed H. Elsayed & Gareth Downing & Chi Keung Marco Lau & Xin Sheng, 2024. "Exploring the role of oil shocks on the financial stability of Gulf Cooperation Council countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1804-1819, April.
  34. Marina Yu. Malkina & Rodion V. Balakin, 2023. "The Relation of Financial and Industrial Stresses to Monetary Policy Parameters in the Russian Economy," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 104-121, June.
  35. Qasim Raza Syed & Hephzibah Onyeje Obekpa & Andrew Adewale Alola, 2026. "Does financial stress hinder energy consumption in the United States of America?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-17, December.
  36. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018. "US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis," Working Papers 2018-05, Swansea University, School of Management.
  37. Rangan Gupta & Christian Pierdzioch, 2024. "Climate Policy Uncertainty and Financial Stress: Evidence for China," Working Papers 202428, University of Pretoria, Department of Economics.
  38. Apostolakis, George, 2016. "Spreading crisis: Evidence of financial stress spillovers in the Asian financial markets," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 542-551.
  39. Akçay, Selçuk, 2025. "Do Remittances Lead to Financial Instability? Evidence from Selected Asia–Pacific Countries," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 32(2).
  40. Tan, Sook-Rei & Li, Changtai & Yeap, Xiu Wei, 2022. "A time-varying copula approach for constructing a daily financial systemic stress index," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  41. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "International financial stress spillovers during times of unconventional monetary policy interventions," Journal of Financial Stability, Elsevier, vol. 72(C).
  42. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "Volatility spillovers in EMU sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
  43. Yu, Bo & Ouyang, Haiqin & Guan, Chao & Lin, Binzhao, 2024. "Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  44. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
  45. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2016. "Volatility transmission between stock and exchange-rate markets: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1604, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
  46. Yingdong Wang & Wenzhi Xi, 2025. "Measurement and Early Warning of Systemic Financial Risk in China: Markov Switching Models," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5083-5111, December.
  47. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.
  48. Tamakoshi, Go & Hamori, Shigeyuki, 2016. "Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK," Research in International Business and Finance, Elsevier, vol. 36(C), pages 288-296.
  49. Xuan Lv & Menggang Li & Yingjie Zhang, 2022. "Financial Stability and Economic Activity in China: Based on Mixed-Frequency Spillover Method," Sustainability, MDPI, vol. 14(19), pages 1-22, October.
  50. Reboredo, Juan C. & Uddin, Gazi Salah, 2016. "Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 284-298.
  51. Liow, Kim Hiang & Liao, Wen-Chi & Huang, Yuting, 2018. "Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty," Economic Modelling, Elsevier, vol. 68(C), pages 96-116.
  52. Apostolakis, Georgios N. & Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2019. "Financial stress and asymmetric shocks transmission within the Eurozone. How fragile is the common monetary policy?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
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