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

DOI10.1016/J.ECONLET.2022.110306zbMath1484.91507OpenAlexW4207020109MaRDI QIDQ2126203

Yundong Tu, Li Li

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

predictionspillover effectsystemic riskglobal financial factor

Mathematics Subject Classification ID

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

Cites Work

• Estimating smooth structural change in cointegration models
• Testing cointegration relationship in a semiparametric varying coefficient model
• Functional-coefficient cointegration models
• A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES
• U.S. Monetary Policy and the Global Financial Cycle

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