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Journals / İzmir İktisat Dergisi / 2020 / Cilt: 35 - Sayı: 3

COVID-19 and the Global Financial Crisis Financial Risk Connectedness: A Frequency Connectedness Methodology Approach

COVID-19 ve Küresel Finansal Krizi Finansal Risk Bağlantılığı: Frekans Bağlantılığı Yöntemi Uygulaması

Onur POLAT
Pages
623–634
Publication Date
2020-09-30
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Additionally, frequency connectedness network topologies for the 2007-09 Global Financial Crisis and the 2020 January-March periods are constructed to estimate dİrectional spillovers and, accordingly to compare two periods

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study analyzes systemic risk contagion among financial stress indexes developed by the Office of Financial Research for emerging and advanced countries by implementing the spectral VAR based Frequency Connectedness methodology in the 2000, January and 2020, March period.
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Key Findings & Data:The total spillover index obtained by the Frequency Connectedness creates proper signs to prominent political/financial stress events in the analyzed period.
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Conclusion & Impact:Additionally, frequency connectedness network topologies for the 2007-09 Global Financial Crisis and the 2020 January-March periods are constructed to estimate dİrectional spillovers and, accordingly to compare two periods
🔬Design:Research Article
📍Scope:2000 Verileri
⚙️Variables:Finansal Bulaşıcılık · Frekans Bağlantılığı · Spektral VAR

Abstract

This study analyzes systemic risk contagion among financial stress indexes developed by the Office of Financial Research for emerging and advanced countries by implementing the spectral VAR based Frequency Connectedness methodology in the 2000, January and 2020, March period. The total spillover index obtained by the Frequency Connectedness creates proper signs to prominent political/financial stress events in the analyzed period. Additionally, frequency connectedness network topologies for the 2007-09 Global Financial Crisis and the 2020 January-March periods are constructed to estimate dİrectional spillovers and, accordingly to compare two periods

Özet

Bu çalışma, Finansal Araştıma Ofisi (Office of Financial Research) tarafından gelişmiş ve gelişmekte olan ülkeler için oluşturulan finansal stres endeksleri arasındaki sistemik risk bağlantılığını spektral VAR modeline dayalı Frekans Bağlantılığı yöntemiyle 2000, Ocak ve 2020, Mart döneminde incelemektedir. Frekans Bağlantılığı yöntemiyle oluşturulan toplam yayılma endeksi incelenen dönemdeki bilinen politik/finansal stres olaylarina etkili bir şekilde tepki vermektedir. Ek olarak, 2007-09 Küresel Finansal Krizi ve 2020 Ocak-Mart dönemlerinde yönlü yayılımları tahmin etmek ve sonuç olarak iki dönemi karşılaştırmak için frekans bağlantılığı ağ topolojileri elde edilmiştir

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Cite This Article

POLAT, O. (2020). COVID-19 and the Global Financial Crisis Financial Risk Connectedness: A Frequency Connectedness Methodology Approach. İzmir İktisat Dergisi, Cilt: 35 - Sayı: 3, 623–634. https://ajindex.com/articles/88414

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