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  • GVAR system Bayesian Revised 25-11-2015 C

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 42, 2016 DOI: 10.1016/j.intfin.2016.01.001

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Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Bayesian GVAR with k-endogenous dominants & input–output weights : financial and trade channels in crisis transmission for BRICs. / Tsionas, Efthymios; Konstantakis, Konstantinos N.; Michaelides, Panayotis G.

In: Journal of International Financial Markets, Institutions and Money, Vol. 42, 05.2016, p. 1-26.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Tsionas, E, Konstantakis, KN & Michaelides, PG 2016, 'Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs', Journal of International Financial Markets, Institutions and Money, vol. 42, pp. 1-26. https://doi.org/10.1016/j.intfin.2016.01.001

APA

Tsionas, E., Konstantakis, K. N., & Michaelides, P. G. (2016). Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs. Journal of International Financial Markets, Institutions and Money, 42, 1-26. https://doi.org/10.1016/j.intfin.2016.01.001

Vancouver

Tsionas E, Konstantakis KN, Michaelides PG. Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs. Journal of International Financial Markets, Institutions and Money. 2016 May;42:1-26. Epub 2016 Jan 28. doi: 10.1016/j.intfin.2016.01.001

Author

Tsionas, Efthymios ; Konstantakis, Konstantinos N. ; Michaelides, Panayotis G. / Bayesian GVAR with k-endogenous dominants & input–output weights : financial and trade channels in crisis transmission for BRICs. In: Journal of International Financial Markets, Institutions and Money. 2016 ; Vol. 42. pp. 1-26.

Bibtex

@article{4f6758adce4849b1a7018fc7be56a585,
title = "Bayesian GVAR with k-endogenous dominants & input–output weights: financial and trade channels in crisis transmission for BRICs",
abstract = "In this work, we study the transmission of shocks (e.g. financial, monetary) between countries by developing a novel approach which relies on Bayesian techniques in order to estimate the GVAR model as a system of simultaneous equations, which we call Bayesian System GVAR (BSGVAR), while providing two procedures to select the dominant economies. Also, we use endogenously determined time varying weights with random coefficients. In this context, we utilize the proposed model to a selected panel of world economies that account for more than 90% of global production. Our work identifies and estimates the link between countries based on the global variables of trade and finance, which act as the transmission channels that have been documented in the literature as being important. To this end, we investigate how the dominant economies of USA and EU17 will be affected by a potential slowdown in the BRICs. Consistent with international evidence, the empirical findings show that both monetary and financial variables, such as interest rates and total credit, have a significant impact on the transmission of shocks. According to our findings, the EU17 economy seems to be more vulnerable than the US economy to shocks from the BRICs.",
keywords = "Financial sector, Crisis transmission, BRICs, GVAR, Input-Output, Bayesian",
author = "Efthymios Tsionas and Konstantakis, {Konstantinos N.} and Michaelides, {Panayotis G.}",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 42, 2016 DOI: 10.1016/j.intfin.2016.01.001",
year = "2016",
month = may,
doi = "10.1016/j.intfin.2016.01.001",
language = "English",
volume = "42",
pages = "1--26",
journal = "Journal of International Financial Markets, Institutions and Money",
issn = "1042-4431",
publisher = "Elsevier BV",

}

RIS

TY - JOUR

T1 - Bayesian GVAR with k-endogenous dominants & input–output weights

T2 - financial and trade channels in crisis transmission for BRICs

AU - Tsionas, Efthymios

AU - Konstantakis, Konstantinos N.

AU - Michaelides, Panayotis G.

N1 - This is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 42, 2016 DOI: 10.1016/j.intfin.2016.01.001

PY - 2016/5

Y1 - 2016/5

N2 - In this work, we study the transmission of shocks (e.g. financial, monetary) between countries by developing a novel approach which relies on Bayesian techniques in order to estimate the GVAR model as a system of simultaneous equations, which we call Bayesian System GVAR (BSGVAR), while providing two procedures to select the dominant economies. Also, we use endogenously determined time varying weights with random coefficients. In this context, we utilize the proposed model to a selected panel of world economies that account for more than 90% of global production. Our work identifies and estimates the link between countries based on the global variables of trade and finance, which act as the transmission channels that have been documented in the literature as being important. To this end, we investigate how the dominant economies of USA and EU17 will be affected by a potential slowdown in the BRICs. Consistent with international evidence, the empirical findings show that both monetary and financial variables, such as interest rates and total credit, have a significant impact on the transmission of shocks. According to our findings, the EU17 economy seems to be more vulnerable than the US economy to shocks from the BRICs.

AB - In this work, we study the transmission of shocks (e.g. financial, monetary) between countries by developing a novel approach which relies on Bayesian techniques in order to estimate the GVAR model as a system of simultaneous equations, which we call Bayesian System GVAR (BSGVAR), while providing two procedures to select the dominant economies. Also, we use endogenously determined time varying weights with random coefficients. In this context, we utilize the proposed model to a selected panel of world economies that account for more than 90% of global production. Our work identifies and estimates the link between countries based on the global variables of trade and finance, which act as the transmission channels that have been documented in the literature as being important. To this end, we investigate how the dominant economies of USA and EU17 will be affected by a potential slowdown in the BRICs. Consistent with international evidence, the empirical findings show that both monetary and financial variables, such as interest rates and total credit, have a significant impact on the transmission of shocks. According to our findings, the EU17 economy seems to be more vulnerable than the US economy to shocks from the BRICs.

KW - Financial sector

KW - Crisis transmission

KW - BRICs

KW - GVAR

KW - Input-Output

KW - Bayesian

U2 - 10.1016/j.intfin.2016.01.001

DO - 10.1016/j.intfin.2016.01.001

M3 - Journal article

VL - 42

SP - 1

EP - 26

JO - Journal of International Financial Markets, Institutions and Money

JF - Journal of International Financial Markets, Institutions and Money

SN - 1042-4431

ER -