The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths

The Synergy of Financial Volatility between China and the United States and the Risk Conduction Paths

Based on monthly data of six major financial variables from January 1996 to December 2018, this paper employs a structural vector autoregressive model to synthesize financial conditions indices in China and the United States, investigates fluctuation characteristics and the synergy of financial vola...

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Bibliographic Details
Main Authors: Xiaochun Jiang, Wei Sun, Peng Su, Ting Wang
Format: Article
Language:English
Published: MDPI AG 2019-08-01
Series:Sustainability
Subjects:
financial cycle
synergy
structural vector autoregression
Markov regime switching model
factor analysis
threshold regression
Online Access:https://www.mdpi.com/2071-1050/11/15/4151

Internet

https://www.mdpi.com/2071-1050/11/15/4151

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