Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality

This study examined the global systemic risk network connectedness during the COVID-19 pandemic by focusing on the stock, bond, and foreign exchange markets of 14 countries (2000–2021). We found that the commonality among multiple markets was high, while the systemic risk of COVID-19 was smaller tha...

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Autores principales: Zhang, Ping, Yin, Shiqi, Sha, Yezhou
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10195777/
http://dx.doi.org/10.1016/j.intfin.2023.101783
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author Zhang, Ping
Yin, Shiqi
Sha, Yezhou
author_facet Zhang, Ping
Yin, Shiqi
Sha, Yezhou
author_sort Zhang, Ping
collection PubMed
description This study examined the global systemic risk network connectedness during the COVID-19 pandemic by focusing on the stock, bond, and foreign exchange markets of 14 countries (2000–2021). We found that the commonality among multiple markets was high, while the systemic risk of COVID-19 was smaller than that of the 2007–2008 financial crisis. Additionally, the exposure of bond markets to systemic risk was larger than the exchange rate and stock markets. Although the stock and bond markets were the main sources of risk during the pandemic, the foreign exchange market had the strongest connection with the global financial network.
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spelling pubmed-101957772023-05-19 Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality Zhang, Ping Yin, Shiqi Sha, Yezhou Journal of International Financial Markets, Institutions and Money Article This study examined the global systemic risk network connectedness during the COVID-19 pandemic by focusing on the stock, bond, and foreign exchange markets of 14 countries (2000–2021). We found that the commonality among multiple markets was high, while the systemic risk of COVID-19 was smaller than that of the 2007–2008 financial crisis. Additionally, the exposure of bond markets to systemic risk was larger than the exchange rate and stock markets. Although the stock and bond markets were the main sources of risk during the pandemic, the foreign exchange market had the strongest connection with the global financial network. Elsevier B.V. 2023-06 2023-05-19 /pmc/articles/PMC10195777/ http://dx.doi.org/10.1016/j.intfin.2023.101783 Text en © 2023 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Zhang, Ping
Yin, Shiqi
Sha, Yezhou
Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title_full Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title_fullStr Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title_full_unstemmed Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title_short Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality
title_sort global systemic risk dynamic network connectedness during the covid-19: evidence from nonlinear granger causality
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10195777/
http://dx.doi.org/10.1016/j.intfin.2023.101783
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