Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE Emerging Markets Review Pub Date : 2024-07-26 DOI:10.1016/j.ememar.2024.101186

Mehmet Balcilar , Ojonugwa Usman , Gazi Murat Duman

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Abstract

This study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk transmission under varying levels of financial stress, the authors also examine the impact of external macroeconomic conditions on the risk connectedness of MENA economies. The results indicate that the overall connectedness, based on a standard VAR model, is moderate at 48.34%. However, in the low financial stress regime, overall connectedness increases to 52.79%, and in the high financial stress regime, it rises to 72.94%, indicating stronger risk interdependency among MENA countries during times of high stress. In the high financial stress regime, Kuwait, Oman, Qatar, Saudi Arabia, Turkey, and the United Arab Emirates are identified as net risk transmitters among MENA countries. The study also reveals that risk transmission across MENA is more pronounced in the regime-dependent model compared to the overall mean-based VAR model.

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非线性网络连接：评估中东和北非地区的金融风险传导及外部金融条件的影响

本研究探讨了全球金融市场状况对中东和北非（MENA）经济体之间金融风险关联性和传导性的影响。作者利用每周已实现的股票市场波动率作为风险度量，并采用平稳过渡阈值向量自回归（STVAR）模型来分析不同金融压力水平下的风险传导，同时还考察了外部宏观经济条件对中东和北非经济体风险关联性的影响。结果表明，基于标准 VAR 模型的总体关联度为 48.34%，处于中等水平。然而，在低金融压力制度下，总体关联度上升到 52.79%，在高金融压力制度下，则上升到 72.94%，这表明在高压力时期，中东和北非国家之间的风险相互依存性更强。在高金融压力体制下，科威特、阿曼、卡塔尔、沙特阿拉伯、土耳其和阿拉伯联合酋长国被确定为中东和北非国家间的净风险传递国。研究还显示，与基于均值的总体 VAR 模型相比，在依赖制度的模型中，中东和北非国家间的风险传递更为明显。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.