MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN
Li, JP; Sun, XL; He, W; Tang, L; Xu, WX
2009
Source PublicationINTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN0219-6220
Volume8Issue:4Pages:16,803-818
AbstractOil economies in the Former Soviet Union (FSU) region, with geographical proximity to each other, are usually impacted by some common risk factors, which make their country risks closely correlated. This paper focuses on correlation between country risks and investigates the spillovers of country risk returns (CRR). Taking Russia and Kazakhstan for example, firstly, this paper identifies the structural breaks in CRR series, using iterated cumulative sums of squares (ICSS) algorithm. Secondly, on the assumption that there may be similarity in structural breaks of CRR series of the two countries, Vector Autoregression (VAR) process and Granger causality test are used to identify whether there are mean spillovers of CRR series. Finally, the volatility spillovers are captured by using multivariate conditional volatility models in the framework of the BEKK models. Empirical results show that (1) there are significant unidirectional mean spillovers from Russia to Kazakhstan; (2) there are asymmetric bidirectional volatility spillovers between Russia and Kazakhstan; and volatility spillover effects from Russia to Kazakhstan are stronger.
KeywordCountry Risk Oil Economy Dynamic Correlation Structural Break Spillovers
Subject AreaComputer Science ; Artificial Intelligence ; Information Systems ; Interdisciplinary Applications ; Computer Science ; Computer Science ; Operations Research & Management Science
Indexed BySCI
Language英语
WOS IDWOS:000275348100010
Citation statistics
Document Type期刊论文
Identifierhttp://ir.casisd.cn/handle/190111/4605
Collection中国科学院科技政策与管理科学研究所(1985年6月-2015年12月)
Recommended Citation
GB/T 7714
Li, JP,Sun, XL,He, W,et al. MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2009,8(4):16,803-818.
APA Li, JP,Sun, XL,He, W,Tang, L,&Xu, WX.(2009).MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,8(4),16,803-818.
MLA Li, JP,et al."MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 8.4(2009):16,803-818.
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