The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach

DOI10.1016/J.ECONLET.2022.110306MaRDI QIDQ2126203zbMATH OpenOpenAlexFDO

Authors Li Li, Yundong Tu

Publication date 14 April 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110306

zbMATH Keywords

global financial factorpredictionspillover effectsystemic risk

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
• Estimating smooth structural change in cointegration models
• Functional-coefficient cointegration models
• Testing cointegration relationship in a semiparametric varying coefficient model
• U.S. monetary policy and the global financial cycle

Cited in

(4)

• Systemic risk and macroeconomic forecasting: a globally applicable copula-based approach
• Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession
• The systemic risk-uncertainty-real economic activity nexus: what is beyond median estimation?
• Measuring climate transition risk spillovers

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