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The financial and fiscal stress interconnectedness: The case of G5 economies

Magkonis, Georgios
; 
Tsopanakis, Andreas
Publication Date
2016-07
End of Embargo
Supervisor
Keywords
Financial stress, Fiscal stress, Spillover index, Causality index, Macroprudential Policies
Rights
© 2016 Elsevier Inc. Reproduced in accordance with the publisher's selfarchiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Peer-Reviewed
Yes
Open Access status
openAccess
Accepted for publication
27/03/2016
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Department
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Management and Law Publications
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Abstract
In this paper, we focus on the financial and fiscal stress transmission for the G5 economies. Using financial and fiscal stress indexes, we assess the spillovers within each economy, as well as the cross-sectional effects. Two supplementary methodologies, measuring the degree of interconnectedness, are employed. Our findings indicate that the interactions between these two kinds of distress are intensive, especially during and after the Global Financial Crisis outbreak. The above reiterates the necessity for coordinated macroprudential policies, as a means to confine the adverse effects of excessive financial and fiscal stress.
URI
http://hdl.handle.net/10454/8305
Version
Accepted manuscript
Citation
Magkonis G and Tsopanakis A (2016) The financial and fiscal stress interconnectedness: The case of G5 economies. International Review of Financial Analysis. 46:62-69.
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Link to published version
Link to Version of Record
https://doi.org/10.1016/j.irfa.2016.03.019
Type
Article
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