The Financial and Fiscal Stress Interconnectedness: The Case of G5 Economies

35 Pages Posted: 29 Apr 2016

See all articles by Georgios Magkonis

Georgios Magkonis

University of Bradford

Andreas Tsopanakis

Cardiff University - Cardiff Business School

Date Written: April 2016

Abstract

In this paper, we focus on the financial and fiscal stress transmission for the G5 economies. Using financial and fiscal stress indexes, we assess the spillovers within each economy, as well as the cross-sectional effects. Two supplementary methodologies, measuring the degree of interconnectedness, are employed. Our findings indicate that the interactions between these two kinds of distress are intensive, especially during and after the Global Financial Crisis outbreak. The above reiterates the necessity for coordinated macroprudential policies, as a means to confine the adverse effects of excessive financial and fiscal stress.

Keywords: Financial stress, Fiscal stress, Spillover index, Causality index, Macroprudential Policies

JEL Classification: E44, F42, F47, G01

Suggested Citation

Magkonis, Georgios and Tsopanakis, Andreas, The Financial and Fiscal Stress Interconnectedness: The Case of G5 Economies (April 2016). International Review of Financial Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2771659

Georgios Magkonis

University of Bradford

Bradford
Bradford, BD9 4JL
United Kingdom

Andreas Tsopanakis (Contact Author)

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

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