MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN

CORC > 科技战略咨询研究院 > 中国科学院科技战略咨询研究院 > 中国科学院科技政策与管理科学研究所(1985年6月-2016年1月19日)

	MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN
	Li, JP; Sun, XL; He, W; Tang, L; Xu, WX
刊名	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
	2009
卷号	8 期号:4 页码:16,803-818
关键词	Country Risk Oil Economy Dynamic Correlation Structural Break Spillovers
ISSN号	0219-6220
英文摘要	Oil 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.
学科主题	Computer Science ; Artificial Intelligence ; Information Systems ; Interdisciplinary Applications ; Computer Science ; Computer Science ; Operations Research & Management Science
语种	英语
WOS记录号	WOS:000275348100010
公开日期	2012-11-12
内容类型	期刊论文
源URL	[http://ir.casipm.ac.cn/handle/190111/4605]
专题	科技战略咨询研究院_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)
推荐引用方式 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.