Showing papers on "Spillover effect published in 2020"
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TL;DR: The spread of the virus encouraged social distancing which led to the shutdown of financial markets, corporate offices, businesses and events and the exponential rate at which the virus was spreading, and the heightened uncertainty about how bad the situation could get, led to flight to safety in consumption and investment among consumers, investors and international trade partners as mentioned in this paper.
Abstract: How did a health crisis translate to an economic crisis? Why did the spread of the coronavirus bring the global economy to its knees? The answer lies in two methods by which coronavirus stifled economic activities. First, the spread of the virus encouraged social distancing which led to the shutdown of financial markets, corporate offices, businesses and events. Second, the exponential rate at which the virus was spreading, and the heightened uncertainty about how bad the situation could get, led to flight to safety in consumption and investment among consumers, investors and international trade partners.
679 citations
TL;DR: In this article, the authors examined the impact of social distancing policies on economic activities and stock market indices and found that the increasing number of lockdown days, monetary policy decisions and international travel restrictions severely affected the level of economic activities.
Abstract: How did a health crisis translate to an economic crisis? Why did the spread of the coronavirus bring the global economy to its knees? The answer lies in two methods by which coronavirus stifled economic activities. First, the spread of the virus encouraged social distancing which led to the shutdown of financial markets, corporate offices, businesses and events. Second, the exponential rate at which the virus was spreading, and the heightened uncertainty about how bad the situation could get, led to flight to safety in consumption and investment among consumers, investors and international trade partners. We focus on the period from the start of 2020 through March when the coronavirus began spreading into other countries and markets. We draw on real-world observations in assessing the restrictive measures, monetary policy measures, fiscal policy measures and the public health measures that were adopted during the period. We empirically examine the impact of social distancing policies on economic activities and stock market indices. The findings reveal that the increasing number of lockdown days, monetary policy decisions and international travel restrictions severely affected the level of economic activities and the closing, opening, lowest and highest stock price of major stock market indices. In contrast, the imposed restriction on internal movement and higher fiscal policy spending had a positive impact on the level of economic activities, although the increasing number of confirmed coronavirus cases did not have a significant effect on the level of economic activities.
370 citations
TL;DR: Based on the data of BP Statistical Review of World Energy, KOF Globalization Index, and the World Development Indicators, the authors explores the impact of technological innovation on CO2 emissions in a panel of 96 countries over the period 1996-2018 with spatial econometric models.
272 citations
TL;DR: The spatial spillover effects offset the improvement effects of local environmental regulations on the air quality and joint regulation should be strengthened to address air pollution issues in urban aggregations.
161 citations
TL;DR: Wang et al. as mentioned in this paper conducted an empirical study on the impact of China's outward foreign direct investment (OFDI) on domestic carbon dioxide emissions in 29 provinces in China from 2003 to 2016.
152 citations
TL;DR: In this paper, the authors investigated the dynamic dependence and risk spillover between BRICS stock returns and different types of oil shocks, combining the Structural VAR model and time-varying copula-GARCH-based CoVaR approach.
149 citations
TL;DR: Positive and economically meaningful spillovers from falling oil prices to both renewable energy and coal markets are found, however, this result is only found for the narrow portion of the authors' sample surrounding the negative WTI event.
146 citations
TL;DR: Wang et al. as discussed by the authors proposed a new method that calculates the time-varying volatility spillover indexes by the generalized forecast error variance decomposition of TVP-VAR-SV model.
126 citations
TL;DR: In this article, the authors analyzed the lead-lag relationship between the price indices of energy fuels and each of food, industrial inputs, agriculture raw materials, metals and beverages in the time-frequency domain.
122 citations
TL;DR: In this paper, the authors examined the volatility connectedness between crude oil spot prices and cryptocurrencies and found evidence of bidirectional volatility spillover between the crude oil market and Bit Capital Vendor as well as a unidirectional variance spillover effect from crudeoil market to Bitcoin Cash market and finally, Ethereum, XRP, and ReddCoin cryptocurrency markets have a significant unidimensional volatility spill-over to the crudeoil markets.
119 citations
TL;DR: The authors examined the impact of economic policy uncertainty (EPUE) on bank liquidity hoarding and found that banks hoard liquidity overall and through all three components, including asset, liability, and off-balance sheet activities.
TL;DR: In this article, an extension of the panel smooth transition regression (PSTR) model with nonlinear and dynamic features was introduced to simultaneously investigate the direct and spillover influences at work in FDI inflows and CO2 discharges.
TL;DR: In this article, the effect of global economic policy uncertainty (EPU) shocks on China's financial conditions index (CFCI) and analyzes the sources of uncertainty shocks were explored.
TL;DR: The authors show that monetary interventions have large and significant effects using historical panel data since 1870 and that the causal effect of these interventions depends on whether the economy is above or below potential, inflation is low, and there is a credit boom in mortgage markets.
TL;DR: In this paper, the authors examined spillover effects among markets of crude oil and ten major agricultural commodities by employing the Diebold and Yilmaz (2009, 2012) spillover frameworks to returns and EGARCH filtered volatilities.
TL;DR: In this article, the authors investigated the volatility spillover between oil and stock markets returns (namely Karachi, Shanghai and Bombay) by using bivariate BEKK-GARCH model covering the period from 1997 to 2014.
TL;DR: In this article, the effects of leverage, jumps, spillovers, and geopolitical risks on the covariance matrix of crude oil and gold futures were examined. But the results of the analysis were limited to the conditional Wishart model.
TL;DR: This paper showed that over a typical U.S. monetary easing cycle, EME borrowers experience a 32 percentage-point increase in the volume of loans issued by foreign banks than do borrowers from developed markets, followed by a fast credit contraction of a similar magnitude upon reversal of the cycle.
TL;DR: In this article, the authors identify firm connections by shared analyst coverage and find that a connected-firm (CF) momentum factor generates a monthly alpha of 1.68% (t = 9.67%).
TL;DR: In this article, value at risk and conditional at risk are used to measure the risks of pilot carbon markets of Beijing, Shanghai, Guangdong, Tianjin, Hubei, Shenzhen and Chongqing in China.
TL;DR: In this paper, the authors used Wave 8 of the German Family Panel to test the spillover and crossover effects of work-family conflict on job satisfaction, relationship satisfaction, and mental health.
Abstract: The present study uses Wave 8 of the German Family Panel to test the spillover and crossover effects of work-family conflict on job satisfaction, relationship satisfaction, and mental health for in...
TL;DR: In this article, the authors show that suppliers exposed to a large and exogenous decline in bank financing are more likely to be negatively affected by bank defaults and defaults than other suppliers.
Abstract: How do shocks to the banking sector travel through the corporate economy? Using a novel data set of interfirm sales, I show that suppliers exposed to a large and exogenous decline in bank financing...
TL;DR: In this paper, the authors studied the asymmetric spillover effect of important economic policy uncertainty (EPU) on the S&P500 index and found that bad volatility reacts more strongly to shocks in EPU following the debt crisis and trade negotiations.
TL;DR: In this article, a quantile variance decomposition framework for measuring extreme risk spillover effects across international stock markets is proposed, which extends the spillover index approach suggested by Diebold and Yilmaz (2009) using quantile regression analysis instead of the ordinary least squares estimation.
TL;DR: HAL as mentioned in this paper is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not, which may come from teaching and research institutions in France or abroad, or from public or private research centers.
Abstract: HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d’enseignement et de recherche français ou étrangers, des laboratoires publics ou privés. Assessing spillover from Marine Protected Areas and its drivers: a meta-analytical approach Manfredi Di Lorenzo, Paolo Guidetti, Antonio Franco, Antonio Calò, Joachim Claudet
TL;DR: In this article, the authors proposed a novel approach to examine the risk spillovers between FinTech firms and traditional financial institutions, during a time of fast technological advances, based on the stock returns of U.S. financial and FinTech institutions.
TL;DR: Wang et al. as discussed by the authors estimated the spatial distribution and driving innovation factors of construction carbon emissions (CCE) by using Moran's I index and spatial econometric models as underlying methods.
TL;DR: Zhang et al. as mentioned in this paper analyzed nearly 300 prefecture-level cities to examine the role of human capital and market access in shaping the economic geography of innovation-driven entrepreneurship in China.
TL;DR: In this paper, the authors explore the non-linear effects of economic policy uncertainty, bilateral trade intensity, and capital flow on China's financial cycle spillover when institutional distance changes over time.
Abstract: This study explores the non-linear effects of economic policy uncertainty, bilateral trade intensity, and capital flow on China’s financial cycle spillover when institutional distance changes over ...
TL;DR: The role of energy market in curbing CO2 emissions and promoting sustainable economic development is highlighted and the negative impact of energy price onCO2 emissions remains qualitatively the same after incorporating the influence of previous period CO 2 emissions.