The Shift-Contagion Effect Of Global Financial Crisis And The European Sovereign Debt Crisis On OECD Countries

Abstract

<p>This article investigates shift-contagion as defined by Forbes and Rigobon (2002) in 16 OECD member economies during most recent financial crisis i.e. global financial crisis (2008-2009) and European sovereign debt crisis (2009-2012), using multivariate asymmetric dynamic conditional correlation model developed by Cappiello et al. (2006). The empirical analyses provide substantial evidence of shifts in the dynamic correlations and hence reconfirm shift-contagion during the global financial crisis that originated from U.S. However, there is no evidence in support of shift-contagion during the European sovereign debt crisis which originated from events in Greece. The results provide important implications for investors and policy makers.</p>

Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries

“…Moreover, increased financial flows, particularly FDI and portfolio flows, have also been shown to raise income inequality in both advanced and emerging market economies (Basu & Guariglia, 2007). In addition to these papers, other studies of scholars like Kazi, Mehanaoui, and Akbar (2014) and Guesmi, Kaabia, and Irfan (2013) have documented the substantial importance of financial exposures across OECD countries.…”

Spillover Effects from China and the Us to Global Emerging Markets: A Dynamic Analysis

“…See, De Paula, Hotta & Zevallos (2008), Bonga-Bonga (2018),Kazi, Mehanaoui & Akbar (2014),Hassan et al (2017), Huang, Huang & Wang (2019 and others.…”