Business-Linkage Volatility Spillovers Between US Industries
Xuan, Linh; Nguyen, Diep; Mateut, Simona; Chevapatrakul, Thanaset
Simona Mateut email@example.com:44-115-8468122.fax:44-115-8466667.
Thanaset Chevapatrakul chevapatrakul:firstname.lastname@example.org
We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade relationship between industries. An industry that is more important to its trade partner-as measured by the shares of inputs or revenue-tends to have stronger volatility spillovers toward its partner and it is less affected by the volatility originating from its partner. Importantly, the strength of the business relationship appears highly relevant for shock spillovers in bad market conditions and is also confirmed at the portfolio level.
|Journal Article Type||Article|
|Journal||Journal of Banking and Finance|
|Peer Reviewed||Peer Reviewed|
|APA6 Citation||Xuan, L., Nguyen, D., Mateut, S., & Chevapatrakul, T. (2020). Business-Linkage Volatility Spillovers Between US Industries. Journal of Banking and Finance, 111, https://doi.org/10.1016/j.jbankfin.2019.105699|
|Keywords||Asset pricing; Stock markets; Volatility spillovers; Multivariate GARCH; Input-Output linkages|
This file is under embargo until May 16, 2021 due to copyright restrictions.
You might also like
Foreign currency borrowing, exports and firm performance:evidence from a currency crisis
Subsidies, financial constraints and firm innovative activities in emerging economies
Inventory composition and trade credit
Reverse trade credit or default risk? Explaining the use of prepayments by firms
Should they stay or should they go? Attitudes towards immigration in Europe