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2019 | OriginalPaper | Chapter

The Financial Stress Spillover: Evidence from Selected Asian Countries

Authors : Zulfiqar Ali Shah, Muhammad Ejaz Majeed, Biagio Simonetti, Corrado Crocetta

Published in: Theoretical and Applied Statistics

Publisher: Springer International Publishing

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Abstract

The objective of the study is to analyze financial stress spillover among selected Asian countries, namely, China, Pakistan, Sri Lanka, Malaysia and India for the period from Jan 2001 to Dec 2009. The financial stress is measured by Financial Stress Index (FSI), a specially designed comprehensive measure of financial stress. The methodology of Yimlam 2012 is adopted for analyzing dynamics of variance decomposition among countries using FSI for the selected countries. The results of the study confirm that China and Pakistan are the largest transmitters of spillover towards other selected countries. Also the net spillover of China and Pakistan indicated to be positive whereas all other countries show up negative net spillovers. The economic and geographic linkages are suggested to be responsible for influencing magnitude of spillover among selected countries. Finally, the response of each country to shocks in other countries is found to be positive.

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Appendix
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Metadata
Title
The Financial Stress Spillover: Evidence from Selected Asian Countries
Authors
Zulfiqar Ali Shah
Muhammad Ejaz Majeed
Biagio Simonetti
Corrado Crocetta
Copyright Year
2019
Book
Theoretical and Applied Statistics

Print ISBN: 978-3-030-05419-9

Electronic ISBN: 978-3-030-05420-5

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-3-030-05420-5_11

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