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 paper, a multivariate GARCH model is employed to capture markets' dependencies and volatility spillovers and is employed on a single market level as well as on the full spectrum of Eurozone markets.
49 citations
TL;DR: In this paper, the predictive power of crude oil volatility index (OVX), a measure of oil market uncertainty, in explaining the return structure of industrial and precious metal markets was investigated.
49 citations
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TL;DR: This article used static and dynamic panel techniques to assess the effect of FDI, foreign loans and portfolio flows on domestic investment in transition economies, and found that FDI stimulates investment in other sectors of the economy ("spillover" effects).
Abstract: During the 1990s most transition economies undertook a series of market reforms, including opening their capital accounts. This paper uses static and dynamic panel techniques to assess the effect of FDI, foreign loans and portfolio flows on domestic investment. In this partial adjustment setup, capital flows can have contemporaneous and long-term effects on investment. For countries with less developed financial markets and weaker institutions, our estimates for the FDI coefficient are larger than one, suggesting FDI stimulates investment in other sectors of the economy ("spillover" effects). Over the longer term, each dollar of FDI generates at least one additional dollar of local investment. In transition countries with stronger governance indicators, long-term loans raise domestic investment and FDI produces small spillover effects in the long run. Limited portfolio flows into the transition economies have no effect on capital formation in either group. JEL Classification: F21, F30, P33
49 citations
TL;DR: This paper analyzed the dynamic bidirectional causality between climate policy uncertainty (CPU) and traditional energy, represented by oil, coal, and natural gas, as well as green markets represented by clean energy, green bonds, and carbon trading.
Abstract: Extreme weather anomalies act as threat multipliers, warning us to focus on low-carbon transition and sustainable development. This study analyses the dynamic bidirectional causality between climate policy uncertainty (CPU) and traditional energy, represented by oil, coal, and natural gas, as well as green markets, represented by clean energy, green bonds, and carbon trading. This research provides the first comprehensive assessment of CPUs across multiple dimensions of different energy properties, causal spillover directions, and temporal heterogeneity using the time-varying Granger test. The results indicate that significant dynamic causality exists within each series rather than the entire period, and that causality manifests differently between pairs of series. In addition, CPU is more inclined to act as a risk recipient than a sender in the market volatility spillover. Whenever extreme climate events or major climate policy changes are encountered, the causal relationship between CPU and the relevant markets will rise significantly. Overall, governments should pay attention to the role of climate policy implementation in energy transition as well as attempt to reduce uncertainty.
49 citations
TL;DR: The authors examined the linkages between output growth and output volatility in the G7 countries over the period 1958M2-2013M8 and found that volatility shocks lead to lower growth, while growth shocks reduce output volatility.
49 citations