Topic
Spillover effect
About: Spillover effect is a research topic. Over the lifetime, 7869 publications have been published within this topic receiving 167367 citations.
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TL;DR: In this article, the authors used a k-th order nonparametric Granger causality test to analyze whether firm-level, economic policy and macroeconomic uncertainty indicators predict movements in real stock returns and their volatility.
77 citations
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TL;DR: In this article, the authors used a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001-11, and provided new evidence on domestic and multilateral (or spillover) effects of capital controls.
Abstract: Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control actions had limited impact on the variables of the monetary policy trilemma, as a result of offsetting resident flows and ample investment opportunities in EMEs. These findings highlight the importance of the macroeconomic context and of the increasing role of resident flows in understanding the effectiveness of capital inflow management. Tightening of capital inflow restrictions in Brazil, Russia, India, China and South Africa (the BRICS) generated significant spillovers via bank lending and exchange rates, particularly in the post-2008 environment of abundant global liquidity. Spillovers seem to be strongest among the BRICS and in Latin America. These results are robust to various specifications of our models.
77 citations
TL;DR: This paper investigated the spillover effect in five leading stock markets (i.e., the United States, the United Kingdom, Germany, Japan, and France) and found that information transmission between these stock markets increases considerably after 1998.
77 citations
TL;DR: In this article , the authors developed a new technique to estimate vector autoregressions with a common factor error structure by quantile regression and applied their technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors between January 2006 and December 2017.
Abstract: We develop a new technique to estimate vector autoregressions with a common factor error structure by quantile regression. We apply our technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors between January 2006 and December 2017. We show that idiosyncratic credit risk shocks propagate much more strongly in both tails than at the conditional mean or median. Furthermore, we develop a measure of the relative spillover intensity in the right and left tails of the conditional distribution that provides a timely aggregate measure of systemic financial fragility and that can be used for risk management and monitoring purposes. This paper was accepted by Gustavo Manso, finance.
77 citations
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TL;DR: In this article, the authors introduce firm and worker heterogeneity into a model of innovation-driven endogenous growth, and study the co-determination of growth and income inequality in both the closed and open economy, as well as the spillover effects of policy and conditions in one country to outcomes in others.
Abstract: We introduce firm and worker heterogeneity into a model of innovation-driven endogenous growth. Individuals who differ in ability sort into either a research sector or a manufacturing sector that produces differentiated goods. Each research project generates a new variety of the differentiated product and a random technology for producing it. Technologies differ in complexity and productivity, and technological sophistication is complementary to worker ability. We study the co-determination of growth and income inequality in both the closed and open economy, as well as the spillover effects of policy and conditions in one country to outcomes in others.
77 citations