Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict

Descripción del Articulo

The paper studies the connectedness of seven regional financial markets since 2018 to 2023 through a TVP-VAR model. The time period selected allow us to study the effects of the connectedness before and after international shocks such as the COVID-19 and the Russian-Ukraine war. Results show that th...

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Detalles Bibliográficos
Autores: Muñoz, Erik H., Gálvez-Gamboa, Francisco, Dávila, Elmer Sánchez
Formato: artículo
Fecha de Publicación:2024
Institución:Universidad Peruana de Ciencias Aplicadas
Repositorio:UPC-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorioacademico.upc.edu.pe:10757/675746
Enlace del recurso:https://doi.org/10.58416/GCG.2024.V18.N1.05
http://hdl.handle.net/10757/675746
Nivel de acceso:acceso embargado
Materia:Russia-Ukraine Conflict
https://purl.org/pe-repo/ocde/ford#3.00.00
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dc.title.es_PE.fl_str_mv Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
title Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
spellingShingle Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
Muñoz, Erik H.
Russia-Ukraine Conflict
https://purl.org/pe-repo/ocde/ford#3.00.00
title_short Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
title_full Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
title_fullStr Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
title_full_unstemmed Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
title_sort Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
author Muñoz, Erik H.
author_facet Muñoz, Erik H.
Gálvez-Gamboa, Francisco
Dávila, Elmer Sánchez
author_role author
author2 Gálvez-Gamboa, Francisco
Dávila, Elmer Sánchez
author2_role author
author
dc.contributor.author.fl_str_mv Muñoz, Erik H.
Gálvez-Gamboa, Francisco
Dávila, Elmer Sánchez
dc.subject.es_PE.fl_str_mv Russia-Ukraine Conflict
topic Russia-Ukraine Conflict
https://purl.org/pe-repo/ocde/ford#3.00.00
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#3.00.00
description The paper studies the connectedness of seven regional financial markets since 2018 to 2023 through a TVP-VAR model. The time period selected allow us to study the effects of the connectedness before and after international shocks such as the COVID-19 and the Russian-Ukraine war. Results show that these markets are highly connected but results are heterogenous according to the international shock. During the COVID-19 pandemic, the worldwide uncertainty triggered greater interconnectedness; whereas, the war conflict does not have significant implications, but it did increase the sensitivity of regional markets close to the armed conflict. These results are an important tool in risk management and public policy
publishDate 2024
dc.date.accessioned.none.fl_str_mv 2024-09-17T12:42:53Z
dc.date.available.none.fl_str_mv 2024-09-17T12:42:53Z
dc.date.issued.fl_str_mv 2024-01-01
dc.type.es_PE.fl_str_mv info:eu-repo/semantics/article
dc.type.version.none.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a382
format article
dc.identifier.doi.none.fl_str_mv https://doi.org/10.58416/GCG.2024.V18.N1.05
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10757/675746
dc.identifier.eissn.none.fl_str_mv 19887116
dc.identifier.journal.es_PE.fl_str_mv Journal Globalization, Competitiveness and Governability
dc.identifier.eid.none.fl_str_mv 2-s2.0-85186488684
dc.identifier.scopusid.none.fl_str_mv SCOPUS_ID:85186488684
url https://doi.org/10.58416/GCG.2024.V18.N1.05
http://hdl.handle.net/10757/675746
identifier_str_mv 19887116
Journal Globalization, Competitiveness and Governability
2-s2.0-85186488684
SCOPUS_ID:85186488684
dc.language.iso.es_PE.fl_str_mv eng
language eng
dc.rights.es_PE.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.es_PE.fl_str_mv application/html
dc.publisher.none.fl_str_mv Georgetown University
publisher.none.fl_str_mv Georgetown University
dc.source.none.fl_str_mv reponame:UPC-Institucional
instname:Universidad Peruana de Ciencias Aplicadas
instacron:UPC
instname_str Universidad Peruana de Ciencias Aplicadas
instacron_str UPC
institution UPC
reponame_str UPC-Institucional
collection UPC-Institucional
dc.source.journaltitle.none.fl_str_mv Journal Globalization, Competitiveness and Governability
dc.source.volume.none.fl_str_mv 18
dc.source.issue.none.fl_str_mv 1
dc.source.beginpage.none.fl_str_mv 81
dc.source.endpage.none.fl_str_mv 92
bitstream.url.fl_str_mv https://repositorioacademico.upc.edu.pe/bitstream/10757/675746/1/license.txt
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bitstream.checksumAlgorithm.fl_str_mv MD5
repository.name.fl_str_mv Repositorio Académico UPC
repository.mail.fl_str_mv upc@openrepository.com
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spelling 68d23ada169ac59c25e30ec75f5f2362300836a8f7dcfccd5239666927810b9c9a5300b47ac0f6d415382e059d00c96e7c9d51Muñoz, Erik H.Gálvez-Gamboa, FranciscoDávila, Elmer Sánchez2024-09-17T12:42:53Z2024-09-17T12:42:53Z2024-01-01https://doi.org/10.58416/GCG.2024.V18.N1.05http://hdl.handle.net/10757/67574619887116Journal Globalization, Competitiveness and Governability2-s2.0-85186488684SCOPUS_ID:85186488684The paper studies the connectedness of seven regional financial markets since 2018 to 2023 through a TVP-VAR model. The time period selected allow us to study the effects of the connectedness before and after international shocks such as the COVID-19 and the Russian-Ukraine war. Results show that these markets are highly connected but results are heterogenous according to the international shock. During the COVID-19 pandemic, the worldwide uncertainty triggered greater interconnectedness; whereas, the war conflict does not have significant implications, but it did increase the sensitivity of regional markets close to the armed conflict. These results are an important tool in risk management and public policyapplication/htmlengGeorgetown Universityinfo:eu-repo/semantics/embargoedAccessRussia-Ukraine Conflicthttps://purl.org/pe-repo/ocde/ford#3.00.00Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflictinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a382Journal Globalization, Competitiveness and Governability1818192reponame:UPC-Institucionalinstname:Universidad Peruana de Ciencias Aplicadasinstacron:UPCLICENSElicense.txtlicense.txttext/plain; charset=utf-81748https://repositorioacademico.upc.edu.pe/bitstream/10757/675746/1/license.txt8a4605be74aa9ea9d79846c1fba20a33MD51false10757/675746oai:repositorioacademico.upc.edu.pe:10757/6757462026-02-17 17:40:10.263Repositorio Académico UPCupc@openrepository.comTk9URTogUExBQ0UgWU9VUiBPV04gTElDRU5TRSBIRVJFClRoaXMgc2FtcGxlIGxpY2Vuc2UgaXMgcHJvdmlkZWQgZm9yIGluZm9ybWF0aW9uYWwgcHVycG9zZXMgb25seS4KCk5PTi1FWENMVVNJVkUgRElTVFJJQlVUSU9OIExJQ0VOU0UKCkJ5IHNpZ25pbmcgYW5kIHN1Ym1pdHRpbmcgdGhpcyBsaWNlbnNlLCB5b3UgKHRoZSBhdXRob3Iocykgb3IgY29weXJpZ2h0Cm93bmVyKSBncmFudHMgdG8gRFNwYWNlIFVuaXZlcnNpdHkgKERTVSkgdGhlIG5vbi1leGNsdXNpdmUgcmlnaHQgdG8gcmVwcm9kdWNlLAp0cmFuc2xhdGUgKGFzIGRlZmluZWQgYmVsb3cpLCBhbmQvb3IgZGlzdHJpYnV0ZSB5b3VyIHN1Ym1pc3Npb24gKGluY2x1ZGluZwp0aGUgYWJzdHJhY3QpIHdvcmxkd2lkZSBpbiBwcmludCBhbmQgZWxlY3Ryb25pYyBmb3JtYXQgYW5kIGluIGFueSBtZWRpdW0sCmluY2x1ZGluZyBidXQgbm90IGxpbWl0ZWQgdG8gYXVkaW8gb3IgdmlkZW8uCgpZb3UgYWdyZWUgdGhhdCBEU1UgbWF5LCB3aXRob3V0IGNoYW5naW5nIHRoZSBjb250ZW50LCB0cmFuc2xhdGUgdGhlCnN1Ym1pc3Npb24gdG8gYW55IG1lZGl1bSBvciBmb3JtYXQgZm9yIHRoZSBwdXJwb3NlIG9mIHByZXNlcnZhdGlvbi4KCllvdSBhbHNvIGFncmVlIHRoYXQgRFNVIG1heSBrZWVwIG1vcmUgdGhhbiBvbmUgY29weSBvZiB0aGlzIHN1Ym1pc3Npb24gZm9yCnB1cnBvc2VzIG9mIHNlY3VyaXR5LCBiYWNrLXVwIGFuZCBwcmVzZXJ2YXRpb24uCgpZb3UgcmVwcmVzZW50IHRoYXQgdGhlIHN1Ym1pc3Npb24gaXMgeW91ciBvcmlnaW5hbCB3b3JrLCBhbmQgdGhhdCB5b3UgaGF2ZQp0aGUgcmlnaHQgdG8gZ3JhbnQgdGhlIHJpZ2h0cyBjb250YWluZWQgaW4gdGhpcyBsaWNlbnNlLiBZb3UgYWxzbyByZXByZXNlbnQKdGhhdCB5b3VyIHN1Ym1pc3Npb24gZG9lcyBub3QsIHRvIHRoZSBiZXN0IG9mIHlvdXIga25vd2xlZGdlLCBpbmZyaW5nZSB1cG9uCmFueW9uZSdzIGNvcHlyaWdodC4KCklmIHRoZSBzdWJtaXNzaW9uIGNvbnRhaW5zIG1hdGVyaWFsIGZvciB3aGljaCB5b3UgZG8gbm90IGhvbGQgY29weXJpZ2h0LAp5b3UgcmVwcmVzZW50IHRoYXQgeW91IGhhdmUgb2J0YWluZWQgdGhlIHVucmVzdHJpY3RlZCBwZXJtaXNzaW9uIG9mIHRoZQpjb3B5cmlnaHQgb3duZXIgdG8gZ3JhbnQgRFNVIHRoZSByaWdodHMgcmVxdWlyZWQgYnkgdGhpcyBsaWNlbnNlLCBhbmQgdGhhdApzdWNoIHRoaXJkLXBhcnR5IG93bmVkIG1hdGVyaWFsIGlzIGNsZWFybHkgaWRlbnRpZmllZCBhbmQgYWNrbm93bGVkZ2VkCndpdGhpbiB0aGUgdGV4dCBvciBjb250ZW50IG9mIHRoZSBzdWJtaXNzaW9uLgoKSUYgVEhFIFNVQk1JU1NJT04gSVMgQkFTRUQgVVBPTiBXT1JLIFRIQVQgSEFTIEJFRU4gU1BPTlNPUkVEIE9SIFNVUFBPUlRFRApCWSBBTiBBR0VOQ1kgT1IgT1JHQU5JWkFUSU9OIE9USEVSIFRIQU4gRFNVLCBZT1UgUkVQUkVTRU5UIFRIQVQgWU9VIEhBVkUKRlVMRklMTEVEIEFOWSBSSUdIVCBPRiBSRVZJRVcgT1IgT1RIRVIgT0JMSUdBVElPTlMgUkVRVUlSRUQgQlkgU1VDSApDT05UUkFDVCBPUiBBR1JFRU1FTlQuCgpEU1Ugd2lsbCBjbGVhcmx5IGlkZW50aWZ5IHlvdXIgbmFtZShzKSBhcyB0aGUgYXV0aG9yKHMpIG9yIG93bmVyKHMpIG9mIHRoZQpzdWJtaXNzaW9uLCBhbmQgd2lsbCBub3QgbWFrZSBhbnkgYWx0ZXJhdGlvbiwgb3RoZXIgdGhhbiBhcyBhbGxvd2VkIGJ5IHRoaXMKbGljZW5zZSwgdG8geW91ciBzdWJtaXNzaW9uLgo=
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Connectedness Between Regional Financial Markets: Evidence from Covid-19 and Russia-Ukraine Conflict
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