Risk Transmission Beyond Financial Crises: Volatility Spillovers and Spillbacks Between SMICs and the U.S.

13 Pages Posted: 7 Sep 2019

See all articles by Ying Yu

Ying Yu

China Jiliang University - College of Economics and Management

Ying Wang

Anglia Ruskin University

Ronghua Yi

China Jiliang University

Date Written: September 2, 2019

Abstract

Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and spillbacks during and beyond financial crisis. The effects of previous long-term spillovers on the dynamics of current conditional variances are stronger than previous short-term innovations. Volatility spillbacks from China, South Africa and Mexico vary greatly, being more significant in the post global financial crisis. Furthermore, India and China present significant net spillovers to the other SMICs, whilst South Africa shows more net volatility transmission to Brazil and Mexico.

Keywords: Risk transmission, Volatility spillovers and spillbacks, Spillover index, DCC-GARCH model, Financial crisis, Systemic middle-income countries (SMICs)

JEL Classification: G1, G15, C32, F15, F37

Suggested Citation

Yu, Ying and Wang, Ying and Yi, Ronghua, Risk Transmission Beyond Financial Crises: Volatility Spillovers and Spillbacks Between SMICs and the U.S. (September 2, 2019). Available at SSRN: https://ssrn.com/abstract=3446629 or http://dx.doi.org/10.2139/ssrn.3446629

Ying Yu

China Jiliang University - College of Economics and Management ( email )

China Jiliang University
Zhejiang, 310018
China

Ying Wang (Contact Author)

Anglia Ruskin University ( email )

Lord Ashcroft International Business School
East Road
Cambridge, CB1 1PT
United Kingdom

HOME PAGE: http://www.anglia.ac.uk/lord-ashcroft-international-business-school/about/accounting-finance-and-ope

Ronghua Yi

China Jiliang University

No. 258, Xueyuan Street
Hangzhou City
China

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