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• W2986361489 startingPage "101113" @default.
• W2986361489 abstract "This paper aims to investigate the crisis linkage and transmission channels within the housing, stock, interest rate and the currency markets in the U.S. and China in the past decade since the 2008 Subprime Mortgage Crisis. Two hybrid models, namely the SWARCH-EVT-Copula and the Bivariate SWARCH-EVT models, are proposed and applied in order to take into account (A) the high/low volatility regimes, (B) the interdependence structure inherited from the joint tail behaviours, as well as, (C) the risk spillover dynamics among financial sectors during market turmoils. We empirically show that the housing and stock markets share the strongest linkage and play central roles in the spreading of shocks. With a highly integrated system, the American financial sectors are under greater exposure to risk contagion and systemic risk during crises than the Chinese markets. Nevertheless, the exchange rate risk of Renminbi remains at an intensive level since its “crawl-like arrangement” and leads to increasing co-movements in the stock and interest rate markets since 2014." @default.
• W2986361489 created "2019-11-22" @default.
• W2986361489 creator A5016044318 @default.
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• W2986361489 date "2020-11-01" @default.
• W2986361489 modified "2023-10-10" @default.
• W2986361489 title "Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S." @default.
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• W2986361489 doi "https://doi.org/10.1016/j.najef.2019.101113" @default.
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