International tail risk connectedness: Network and determinants

Nguyen, Linh Hoang; Lambe, Brendan John

Abstract

We construct a complete network of directional tail risk connectedness for 32 countries within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression framework. In addition to highlighting the network's essential features, including the key drivers and receivers of tail risk, we reveal some striking new network determinants. These include the predominant role of economy size, as well as the negative net impact of economic linkages such as trade and capital flows in addition to capital stocks on cross-country tail risk connectedness.

Citation

Nguyen, L. H., & Lambe, B. J. (2021). International tail risk connectedness: Network and determinants. Journal of International Financial Markets, Institutions and Money, 72, Article 101332. https://doi.org/10.1016/j.intfin.2021.101332

• Journal Article Type: Article
• Acceptance Date: Mar 6, 2021
• Online Publication Date: Mar 12, 2021
• Publication Date: 2021-05
• Deposit Date: Aug 21, 2023
• Publicly Available Date: Aug 24, 2023
• Journal: Journal of International Financial Markets, Institutions and Money
• Print ISSN: 1042-4431
• Electronic ISSN: 1873-0612
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 72
• Article Number: 101332
• DOI: https://doi.org/10.1016/j.intfin.2021.101332
• Keywords: Tail risk spillover; Contagion; International financial market; Economic linkage; Quantile regression
• Public URL: https://nottingham-repository.worktribe.com/output/24574652
• Publisher URL: https://www.sciencedirect.com/science/article/abs/pii/S1042443121000512?via%3Dihub