Financial stress spillovers across the banking, securities and foreign exchange markets

Apostolakis, George; Papadopoulos, Athanasios P.

doi:10.1016/j.jfs.2015.05.003

Cited by 75 publications

(40 citation statements)

References 48 publications

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“…A positive FSI shock indicates an economic downturn (Hakkio & Keeton, 2009) and leads to economic contractions (see, e.g., Cevik, Dibooglu, & Kutan, 2013). This pushes down the commodity prices due to a fall in demand and persistent deflationary pressure (see, e.g., Apostolakis & Papadopoulos, 2015). Therefore, increased financial stress might dampen futures prices, and this effect is less pronounced for futures that are more distant, and consequently the adjusted basis increases.…”

Section: Resultsmentioning

confidence: 99%

The theory of storage in the crude oil futures market, the role of financial conditions

Ahmadi

Behmiri

Manera

2020

Journal of Futures Markets

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This study examines the impacts of inventory and financial instability on the basis of the crude oil market. The results show that, first, the basis rises with inventory, and this effect is higher during low inventory regimes. This validates the theory of storage in the crude oil market. Second, the basis rises with financial instability, and this effect is higher during turbulent regimes. These results warn the oil market participants that, to make decisions based on the basis variation, traditionally known as a signal of scarcity or abundance, the underlying cause of the variation has to be considered.

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Section: Resultsmentioning

confidence: 99%

The theory of storage in the crude oil futures market, the role of financial conditions

Ahmadi

Behmiri

Manera

2020

Journal of Futures Markets

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“…Most of the empirical findings shows that financial stress have a negative relation with growth or economic activity (Hakkio and Keenton, 2009;Cardarelli et al, 2011;Van Roye, 2011;Hollo et al, 2012;Aboura and Roye, 2013;Mallik and Sousa, 2013;Mittnik and Semmler, 2013;Shankar, 2014;Apostolakis and Papadopoulos, 2015;Cevik et al, 2016;Stolbov and Shchepelevab, 2016;Venkateswarlu, 2017).…”

Section: Empirical Literature On Measuring Financial (In) Stability and Its Relation With Growth And Inflation (Price Stability)mentioning

confidence: 99%

Financial stress index, growth and price stability in India: some recent evidence

Sahoo

2021

Transnational Corporations Review

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This paper examine aggregate financial stress index for India is constructed by taking monthly data from different segments of the financial market like money market, bond market, equity market, foreign exchange market, and the banking sector, for the period March 2007 to December 2016. The interrelationship and feedback effect between financial stress, economic growth and price stability are tested by using correlation and an unrestricted VAR model. The impulse response function of the VAR model shows that financial stress leads to decline in growth after a lag period and higher growth rate for a longer period of time increases stress in the financial system. The variance decomposition result shows that the contribution of FSI to the variation of other variables are not much high but other variables can contribute to the variation in FSI to some extent.

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“…In addition to these factors, Balakrishnan, Danninger, Elekdag, and Tytell (2011) argued that financial stress could be transmitted due to common factors affecting several countries such as a global turmoil or crisis. Since then, several attempts have been made to study financial contagion and volatility spillovers among financial markets and across countries (see, e.g., Apostolakis & Papadopoulos, 2015;Balakrishnan et al, 2011;Beirne, Caporale, Schulze-Ghattas, & Spagnolo, 2013;Caramazza et al, 2004;Cardarelli, Elekdag, & Lall, 2011;Francis X. Diebold & Yilmaz, 2009;Francis X Diebold & Yilmaz, 2012;Yarovaya, Brzeszczyński, & Lau, 2016, among others).…”

Section: Literature Reviewmentioning

confidence: 99%

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

El-Sayed

Yarovaya

2019

Journal of International Financial Markets, Institutions and Mo

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In this paper we analyse the impact of instability caused by the Arab Spring on the comovements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

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Financial stress spillovers across the banking, securities and foreign exchange markets

Cited by 75 publications

References 48 publications

The theory of storage in the crude oil futures market, the role of financial conditions

The theory of storage in the crude oil futures market, the role of financial conditions

Financial stress index, growth and price stability in India: some recent evidence

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

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