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Book part
Publication date: 4 October 2018

Pym Manopimoke, Suthawan Prukumpai and Yuthana Sethapramote

This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international

Abstract

This chapter examines dynamic connectedness among emerging Asian equity markets as well as explores their linkages vis-à-vis other major global markets. We find that international equity markets are tightly integrated. Measuring connectedness based on a generalized Vector Autoregressive (VAR) model, more than half of all total forecast error variance in equity return and volatility shocks come from other markets as opposed to country own shocks. When examining the degree of connectedness over time, we find that international stock markets have become increasingly connected, with a gentle upward trend since the Asian financial crisis (AFC) but with a rapid burst during the global financial crisis (GFC). Despite the growing importance of Asian emerging markets in the world economy, we find that their influence on advanced economies are still relatively small, with no significant increase over time. During the past decade, advanced markets have been consistently net transmitters of shocks while emerging Asian markets act as net receivers. Based on the nature of equity shock spillovers, we also find that advanced countries are still tightly connected among themselves while intraregional connectedness within Asia remains strong. By investigating whether uncertainty plays an important role in explaining the degree of stock market connectedness, we find that economic policy uncertainty (EPU) from the US is an important source of financial shock spillover for the majority of international equity markets. In contrast, US financial market uncertainty as proxied by the VIX index drives equity market spillovers only among advanced economies.

Details

Banking and Finance Issues in Emerging Markets
Type: Book
ISBN: 978-1-78756-453-4

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Book part
Publication date: 18 January 2022

Weilin Liu, Robin C. Sickles and Yao Zhao

This chapter estimates heterogeneous productivity growth and spatial spillovers through industrial linkages in the United States and China from 1981 to 2010. The authors employ a…

Abstract

This chapter estimates heterogeneous productivity growth and spatial spillovers through industrial linkages in the United States and China from 1981 to 2010. The authors employ a spatial Durbin stochastic frontier model and estimates with a spatial weight matrix based on inter-country input–output linkages to describe the spatial interdependencies in technology. The authors estimate productivity growth and spillovers at the industry level using the World KLEMS database. The spillovers of factor inputs and productivity growth are decomposed into domestic and international effects. Most of the spillover effects are found to be significant and the spillovers of productivity growth offered and received provide detailed information reflecting interdependence of the industries in the global value chain (GVC). The authors use this model to evaluate the impact of a US–Sino decoupling of trade links based on simulations of four scenarios of the reductions in bilateral intermediate trade. Their estimation results and their simulations are as mentioned based on date that ends in 2010, as this is the only KLEMS data available for these countries at this level of industrial disaggregation. As the GVC linkages between the United States and China have expanded since the end of their sample period their results can be viewed as informative in their own right for this period as well as possible lower bounds on the extent of the spillovers generated by an expanding GVC.

Details

Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
Type: Book
ISBN: 978-1-80262-062-7

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Book part
Publication date: 20 October 2011

Paola Garrone, Lucia Piscitello and Yan Wang

Purpose – This chapter aims at investigating the impact of cross-border knowledge spillovers on technological innovation in the renewable energy sector.Methodology/approach – The…

Abstract

Purpose – This chapter aims at investigating the impact of cross-border knowledge spillovers on technological innovation in the renewable energy sector.

Methodology/approach – The analysis presented in the chapter assumes that technological knowledge exhibits several tacit elements and requires established connections to flow between countries. A new measure for knowledge spillovers is obtained by weighting international R&D stocks through bilateral trade flows. The country-level patenting activity is modelled through a knowledge production function. The sample includes 18 OECD countries over the 1990–2006 period. Estimates are obtained through panel data techniques.

Findings – Our econometric results show that international knowledge developed by other countries has positive effects on the focal country's innovation in renewable energy technologies. Cross-country linkages, rather than mere geographic proximity, are found to favour cross-country knowledge spillovers.

Impact – The research contributes to the design of energy innovation policies. Public R&D is confirmed to be a relevant input to energy innovation. Coordination between countries in energy R&D activities can be required, particularly when countries maintain mutual linkages.

Originality – This study adds empirical evidence on the effect of cross-country knowledge spillovers and on the channels through which technological knowledge diffuses globally. It contributes to the emerging empirical research on energy innovation.

Details

Entrepreneurship in the Global Firm
Type: Book
ISBN: 978-1-78052-115-2

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Article
Publication date: 10 October 2016

Hsiu-Chuan Lee, Chih-Hsiang Hsu and Cheng-Yi Chien

The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of…

Abstract

Purpose

The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements.

Design/methodology/approach

This study uses the short- and long-term swap spread volatility of the G7 countries to explore the spillover effects of international swap markets, and then investigates the relationship between swap and stock markets. The authors use the generalized VAR approach suggested by Diebold and Yilmaz (2012) to study spillovers of international swap markets. The Granger-causality tests are employed to examine the linkage of interest rate swap and stock markets.

Findings

This paper shows that a moderate spillover effect exists for the short- and long-term swap markets. Moreover, the results show that the short- and long-term swap markets of France and Germany have a larger impact on other countries’ swap markets than that of other countries’ swap markets on the French and German swap markets. Finally, the results indicate that the total volatility spillovers for the long-term swap markets have a larger influence on the total volatility spillover index of stock markets and the global stock market volatility than that of the short-term swap markets.

Originality/value

Prior literature has used impulse response and variance decomposition analyses to investigate international swap markets linkages. However, the results depend on the ordering of variables. This study uses the framework of Diebold and Yilmaz (2012) to overcome the ordering issue, and thus the authors can compute directional spillovers. This paper is the first study to explore the linkage of the total volatility spillover of swap markets and the stock markets.

Details

Managerial Finance, vol. 42 no. 10
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 25 August 2021

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo and Sang Hoon Kang

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between…

Abstract

Purpose

This paper examines dynamic return spillovers and connectedness networks among international stock exchange markets. The authors account for asymmetry by distinguishing between positive and negative returns.

Design/methodology/approach

This paper employs the spillover index of Diebold and Yilmaz (2012) to measure the volatility spillover index for total, positive and negative volatility.

Findings

The results show time-varying and asymmetric volatility spillovers among the stock markets under investigation. During the coronavirus disease 2019 (COVID-19) pandemic, bad volatility spillovers are more pronounced and dominated over good volatility spillovers, indicating contagion effects.

Originality/value

The presence of confirmed COVID-19 cases positively (negatively) affects the good and bad spillovers under low and intermediate (upper) quantiles. Both types of spillovers at various quantiles agree also influenced by the number of COVID-19 deaths.

Details

International Journal of Emerging Markets, vol. 18 no. 9
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 26 August 2014

Kim Hiang Liow

The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater…

Abstract

Purpose

The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013.

Design/methodology/approach

First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second, the author appeal to the generalized VAR methodology, variance decomposition and the generalized spillover index of Diebold and Yilmaz (2012) to investigate the volatility spillover effects across the real estate markets. Finally, the spillover framework is able to combine with recent developments in time series econometrics to provide a comprehensive analysis of the dynamic volatility co-movements regionally and globally. The author also examine whether there are volatility spillover regimes, as well as explore the relationship between the volatility spillover cycles and the correlation spillover cycles.

Findings

Results indicate moderate return co-movements and volatility spillover effects within and across the GC region. Cross-market volatility spillovers are bidirectional with the highest spillovers occur during the global financial crisis (GFC) period. Comparatively, the Chinese public property market's volatility is more exogenous and less influenced by other markets. The volatility spillover effects are subject to regime switching with two structural breaks detected for the five sub-groups of markets examined. There is evidence of significant dependence between the volatility spillover cycles across stock and public real estate, due to the presence of unobserved common shocks.

Research limitations/implications

Because international investors incorporate into their portfolio allocation not only the long-term price relationship but also the short-term market volatility interaction and return correlation structure, the results of this study can shed more light on the extent to which investors can benefit from regional and international diversification in the long run and short-term within and across the GC securitized property sector, with Asian emerging market and global developed markets of Japan and USA. Although it is beyond the scope of this paper, it would be interesting to examine how the two co-movement measures (volatility spillovers and correlation spillovers) can be combined in optimal covariance forecasting in global investing that includes stock and public real estate markets.

Originality/value

This is one of very few papers that comprehensively analyze the dynamic return correlations and conditional volatility spillover effects among the three GC public property markets, as well as with their selected emerging and developed partners over the last decade and during the GFC period, which is the main contribution of the study. The specific contribution is to characterize and measure cross-public real estate market volatility transmission in asset pricing through estimates of several conditional “volatility spillover” indices. In this case, a volatility spillover index is defined as share of total return variability in one public real estate market attributable to volatility surprises in another public real estate market.

Article
Publication date: 10 October 2022

Leon Esquierro and Sergio Da Silva

The authors test the granularity hypothesis to international inflation spillovers using annual exports and inflation data for 138 countries from 1991 to 2020. This study aims to…

Abstract

Purpose

The authors test the granularity hypothesis to international inflation spillovers using annual exports and inflation data for 138 countries from 1991 to 2020. This study aims to discuss the aforementioned objective.

Design/methodology/approach

First, the authors quantify the power law for the right tail of the export volumes distribution and discuss its implications. Then, the authors compute the granular residual, a measure of shocks to the largest countries.

Findings

The authors find export volumes across countries are not Gaussian-distributed but follow a power law. This finding means the largest countries disproportionately impact world inflation. In addition, the authors find that countries with higher relative weight in international trade determine a portion of international spillovers greater than their trade share. Moreover, eight big grains are responsible for the bulk of inflation spillovers.

Practical implications

The policy implication is that other countries' central banks should closely monitor the eight big grains when conducting their domestic monetary policy.

Originality/value

This is the first study spotting the problem of granular inflation spillovers.

Details

Journal of Economic Studies, vol. 50 no. 6
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 10 August 2022

Nadia Albis Salas, Isabel Alvarez and John Cantwell

This paper explains the mechanisms underlying the generation of two-way knowledge spillovers through the interaction of subsidiaries with differentiated local responsibilities and…

Abstract

Purpose

This paper explains the mechanisms underlying the generation of two-way knowledge spillovers through the interaction of subsidiaries with differentiated local responsibilities and domestic firms.

Design/methodology/approach

The study is based on firm-level panel data from a census of Colombian manufacturing firms for the period 2003–2012. The estimation procedure involves two stages. In the first one, total factor productivity (TFP) of foreign and domestic firms is estimated. In a second step, we estimate conventional spillovers (from foreign-owned to local firms) and reverse spillovers (from local to foreign-owned firms) separately, using a random effect approach.

Findings

This study’s findings reveal that only locally creative subsidiaries enjoy positive and significant two-way knowledge spillover effects. The connectivity of subsidiaries to local and international networks is reinforced by reciprocal relationships among actors that enhance bidirectional knowledge flows, these being favored by the dynamics of clustering effects.

Originality/value

The paper contributes with new empirical evidence about the mechanism explaining how the technological heterogeneity of subsidiaries plays a determinant role in the generation of both knowledge flows from foreign to domestic firms and to the reverse, all integrated into the same framework.

Details

International Journal of Emerging Markets, vol. 19 no. 4
Type: Research Article
ISSN: 1746-8809

Keywords

Book part
Publication date: 1 October 2007

Kamal Saggi

What roles do trade and foreign direct investment (FDI) play in international technology transfer? Do technologies introduced by multinational firms diffuse to local firms? How…

Abstract

What roles do trade and foreign direct investment (FDI) play in international technology transfer? Do technologies introduced by multinational firms diffuse to local firms? How does the level of intellectual property rights (IPRs) protection in a country affect its ability to absorb foreign technologies? Using these questions as motivation, this paper surveys the recent trade literature on international technology transfer, paying particular attention to the role of FDI. Several useful conclusions emerge. First, the theoretical literature has shown that trade necessarily encourages growth only if knowledge spillovers are international in scope. Second, existing empirical evidence on the scope of knowledge spillovers (national versus international) is ambiguous. Third, recent empirical plant level studies have called into question earlier studies that argued that FDI has a positive impact on productivity of local firms that compete directly with multinationals. Fourth, there is strong evidence in support of vertical spillovers from FDI: i.e. those firms that either supply multinationals or use goods and services produced by them as intermediate inputs experience productivity gains from such interaction. Fifth, it is well established that the degree of global IPR protection affects the pattern of international trade and convincing evidence that it also influences flows of international technology transfer and FDI has also started to emerge.

Details

Intellectual Property, Growth and Trade
Type: Book
ISBN: 978-1-84950-539-0

Article
Publication date: 23 May 2022

Peipei Liu and Wei-Qiang Huang

This study is the first that aims to investigate international transmission channels of sovereign risk among G20 and explore its influential factors by applying the…

Abstract

Purpose

This study is the first that aims to investigate international transmission channels of sovereign risk among G20 and explore its influential factors by applying the multidimensional SAR model.

Design/methodology/approach

Multiple spatial weight matrices can capture the contiguity of spatial units from various dimensions, which could be exploited to improve the precision of inference as well as prediction accuracy. To the best of the authors’ knowledge, this is the first study to investigate international transmission channels of sovereign risk among G20 and explore its influential factors by applying the multidimensional SAR model.

Findings

With network structure analysis, this study finds that they contain different information content from the perspective of graphical display, node strength and correlation. Developed and emerging countries all play major roles in trade connection, while only developed countries play major roles in financial linkage. Second, by applying the multidimensional SAR model, only the spatial autocorrelation coefficients for trade and financial linkages are significant during the full sample period, which is in sharp contrast to published studies using the SAR model with a single matrix. Third, the spillover channels that play major roles in various periods are different. Only trade channel plays a role during crisis periods and it is the most important. Fourth, the spatial correlation among countries greatly amplifies the shock’s impacts on one market. And spatial effect for developed countries is larger than those for emerging countries, while the mean spatial effect of a unit shock in the USA on emerging countries is slightly greater than that on developed countries.

Originality/value

Multiple spatial weight matrices can capture the contiguity of spatial units from various dimensions, which could be exploited to improve the precision of inference as well as prediction accuracy. To the best of the authors’ knowledge, this is the first study to investigate international transmission channels of sovereign risk among G20 and explore its influential factors by applying the multidimensional SAR model.

Details

International Journal of Emerging Markets, vol. 18 no. 12
Type: Research Article
ISSN: 1746-8809

Keywords

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