Pub Date : 2025-12-01DOI: 10.1016/j.ecosys.2025.101339
Chenghao Zhao , Yifei Sun , Yiran Wang , Min Wei
We estimate the absolute intergenerational income mobility of Chinese individuals born between 1961 and 1988 using two large-scale micro-level datasets, CHFS and CHIP. The results show that overall mobility ranges from 65 % to 85 %, exhibiting an upward trend with cohort fluctuations. To explain the structural sources of these trends, we introduce a decomposition framework that disaggregates mobility into four components: the growth effect, the parental dispersion effect, the offspring dispersion effect, and the rank correlation effect. These capture the roles of economic growth, parental income distribution, income dispersion within the offspring cohort, and intergenerational rank persistence. Heterogeneity analysis shows that recent mobility gains are concentrated among middle- and upper-income groups, while upward mobility channels for women and low-income populations have narrowed. This study provides empirical evidence on the structure of social mobility in transitional China and contributes a developing-country perspective to the international comparative literature on intergenerational mobility.
{"title":"Trends and structural decomposition of intergenerational absolute income mobility in China: Evidence from Birth cohorts 1961–1988","authors":"Chenghao Zhao , Yifei Sun , Yiran Wang , Min Wei","doi":"10.1016/j.ecosys.2025.101339","DOIUrl":"10.1016/j.ecosys.2025.101339","url":null,"abstract":"<div><div>We estimate the absolute intergenerational income mobility of Chinese individuals born between 1961 and 1988 using two large-scale micro-level datasets, CHFS and CHIP. The results show that overall mobility ranges from 65 % to 85 %, exhibiting an upward trend with cohort fluctuations. To explain the structural sources of these trends, we introduce a decomposition framework that disaggregates mobility into four components: the growth effect, the parental dispersion effect, the offspring dispersion effect, and the rank correlation effect. These capture the roles of economic growth, parental income distribution, income dispersion within the offspring cohort, and intergenerational rank persistence. Heterogeneity analysis shows that recent mobility gains are concentrated among middle- and upper-income groups, while upward mobility channels for women and low-income populations have narrowed. This study provides empirical evidence on the structure of social mobility in transitional China and contributes a developing-country perspective to the international comparative literature on intergenerational mobility.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 4","pages":"Article 101339"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145705526","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-01DOI: 10.1016/j.ecosys.2025.101327
Hakan Yilmazkuday
This paper investigates the drivers of (real per capita income) growth spillovers across 85 countries based on the implications of a multi-country growth model. Pairwise growth spillovers (for 7140 country pairs) covering the period of 1961–2022 are estimated by using the local projection method. The results show that growth spillovers are statistically significant for 97 % of the advanced economy pairs, whereas this ratio reduces to 56 % for spillovers from advanced economies to emerging markets and developing economies. A secondary investigation based on the Heckman selection model is used to identify the drivers of growth spillovers across country pairs, where the existence of statistically-significant growth spillovers is shown to be connected to the proximity between countries. The size of growth spillovers is further shown to increase (decrease) with the initial human capital, trade openness, and GATT membership (inflation, government size, and financial depth) of the spillover destination country in 1960. Subsample analyses additionally show that these drivers of growth spillovers have been more effective during the second half of the sample period, coinciding with the post-Uruguay Round era. Finally, the drivers of growth spillovers are connected to alternative policy implications, including those related to fiscal policy, trade policy, development policy, monetary policy, and macroprudential policy.
{"title":"Drivers of growth spillovers","authors":"Hakan Yilmazkuday","doi":"10.1016/j.ecosys.2025.101327","DOIUrl":"10.1016/j.ecosys.2025.101327","url":null,"abstract":"<div><div>This paper investigates the drivers of (real per capita income) growth spillovers<span><span> across 85 countries based on the implications of a multi-country growth model. Pairwise growth spillovers (for 7140 country pairs) covering the period of 1961–2022 are estimated by using the local projection method. The results show that growth spillovers are statistically significant for 97 % of the advanced economy pairs, whereas this ratio reduces to 56 % for spillovers from advanced economies to emerging markets and developing economies. A secondary investigation based on the Heckman selection model is used to identify the drivers of growth spillovers across country pairs, where the existence of statistically-significant growth spillovers is shown to be connected to the proximity between countries. The size of growth spillovers is further shown to increase (decrease) with the initial human capital, </span>trade openness<span><span><span>, and GATT membership (inflation, government size, and financial depth) of the spillover destination country in 1960. Subsample analyses additionally show that these drivers of growth spillovers have been more effective during the second half of the sample period, coinciding with the post-Uruguay Round era. Finally, the drivers of growth spillovers are connected to alternative policy implications, including those related to fiscal policy, </span>trade policy, </span>development policy<span>, monetary policy<span>, and macroprudential policy.</span></span></span></span></div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 4","pages":"Article 101327"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145705527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-01DOI: 10.1016/j.ecosys.2025.101326
Bordin Bordeerath
This paper shows that the pandemic increased wealth concentration among billionaires, particularly among billionaire heirs—whose wealth accumulation is associated with slower economic recovery—in countries with weak institutions. This finding is based on hand-collected Forbes data on billionaire wealth across 65 countries from 2017 to 2020. The growth rate of billionaires’ wealth as a share of GDP increased by 38 percentage points during the pandemic. Billionaires are then classified as founders if they are self-made, and as heirs if they inherited corporate control from their families. Further evidence shows that the wealth share of heirs grew more rapidly than that of founders in countries with weak financial institutions and low openness to trade and capital flows. By contrast, the opposite occurred in countries where these institutions are strong. These results underscore the role of institutions in curbing the rise of billionaire heirs during the pandemic.
{"title":"COVID-19 pandemic and the reconcentration of wealth","authors":"Bordin Bordeerath","doi":"10.1016/j.ecosys.2025.101326","DOIUrl":"10.1016/j.ecosys.2025.101326","url":null,"abstract":"<div><div><span>This paper shows that the pandemic increased wealth<span> concentration among billionaires, particularly among billionaire heirs—whose wealth accumulation is associated with slower economic recovery—in countries with weak institutions. This finding is based on hand-collected Forbes data on billionaire wealth across 65 countries from 2017 to 2020. The growth rate of billionaires’ wealth as a share of GDP increased by 38 percentage points during the pandemic. Billionaires are then classified as </span></span><em>founders</em> if they are self-made, and as <em>heirs</em><span> if they inherited corporate control<span> from their families. Further evidence shows that the wealth share of heirs grew more rapidly than that of founders in countries with weak financial institutions and low openness to trade and capital flows. By contrast, the opposite occurred in countries where these institutions are strong. These results underscore the role of institutions in curbing the rise of billionaire heirs during the pandemic.</span></span></div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 4","pages":"Article 101326"},"PeriodicalIF":3.3,"publicationDate":"2025-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145705528","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article examines the impact of country risk on the level of innovation. Through empirical analysis of unbalanced panel data from 106 countries around the world from 1990 to 2020, we find that reducing country risk has a pro-innovation effect, and this conclusion holds after a series of robustness tests. We also find that the impact of country risk on innovation is more significant in countries with better infrastructure, democracies, lower income, lower political stability, and countries governed by left-wing parties. The impact of country risk on innovation is also more significant in high-tech industries than in traditional manufacturing industries. The mechanism analysis shows that country risk reduction promotes innovation by increasing and improving government efficiency, human capital, and the business environment. This study expands the research areas related to country risk and provides evidence for understanding the relationship between country risk and innovation.
{"title":"The impact of country risk on innovation: Global evidence","authors":"Jun Wen , Hai-Peng Duan , Chun-Ping Chang , Xin-Xin Zhao","doi":"10.1016/j.ecosys.2024.101275","DOIUrl":"10.1016/j.ecosys.2024.101275","url":null,"abstract":"<div><div>This article examines the impact of country risk on the level of innovation. Through empirical analysis of unbalanced panel data from 106 countries around the world from 1990 to 2020, we find that reducing country risk has a pro-innovation effect, and this conclusion holds after a series of robustness tests. We also find that the impact of country risk on innovation is more significant in countries with better infrastructure, democracies, lower income, lower political stability, and countries governed by left-wing parties. The impact of country risk on innovation is also more significant in high-tech industries than in traditional manufacturing industries. The mechanism analysis shows that country risk reduction promotes innovation by increasing and improving government efficiency, human capital, and the business environment. This study expands the research areas related to country risk and provides evidence for understanding the relationship between country risk and innovation.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101275"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178161","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101269
Ruslan Aliyev , Ayaz Zeynalov
This study examines the factors that determine exchange rate regime choice in oil-exporting countries. We run ordered logit regressions for an unbalanced panel dataset of 138 countries covering 1974–2021 and confirm that oil-exporting countries are more likely to adopt a fixed exchange rate regime than other countries. The main reason for this is that, given the volatility and uncertainty of oil revenues, traditional monetary policy tools are ineffective, resulting in the exchange rate serving as a nominal anchor. This is supported by our findings on the distinct roles of output volatility, government spending, fiscal cyclicality, and central bank independence in determining exchange rate regimes in oil-exporting countries.
{"title":"Determinants of the choice of exchange rate regime in oil-exporting countries","authors":"Ruslan Aliyev , Ayaz Zeynalov","doi":"10.1016/j.ecosys.2024.101269","DOIUrl":"10.1016/j.ecosys.2024.101269","url":null,"abstract":"<div><div>This study examines the factors that determine exchange rate regime choice in oil-exporting countries. We run ordered logit regressions for an unbalanced panel dataset of 138 countries covering 1974–2021 and confirm that oil-exporting countries are more likely to adopt a fixed exchange rate regime than other countries. The main reason for this is that, given the volatility and uncertainty of oil revenues, traditional monetary policy tools are ineffective, resulting in the exchange rate serving as a nominal anchor. This is supported by our findings on the distinct roles of output volatility, government spending, fiscal cyclicality, and central bank independence in determining exchange rate regimes in oil-exporting countries.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101269"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101286
Manh-Duc Le , Marco Zamarian
This study investigates the profit-shifting activities of multinational firms in Vietnam from 2006 to 2019. Our results indicate that transfer pricing is the primary method of multinational profit shifting in Vietnam. Moreover, the responsiveness of reported operating profits to tax incentives is found only at subsidiaries of parent companies that originate in tax havens and mainly at large foreign subsidiaries but not smaller ones. We also find a significant shift in tax avoidance practices among foreign firms linked to tax havens after 2017, when stricter regulations aligned with standards by the Organization for Economic Cooperation and Development were enforced. Despite these changes, multinational tax avoidance persists. Our study suggests that cross-border multinational profit shifting is more complicated than previously known, and the dyadic profit-shifting pattern between tax havens and developing countries, such as Vietnam, deserves more attention.
{"title":"Tax-avoidance profit shifting by multinational firms: evidence from Vietnam","authors":"Manh-Duc Le , Marco Zamarian","doi":"10.1016/j.ecosys.2024.101286","DOIUrl":"10.1016/j.ecosys.2024.101286","url":null,"abstract":"<div><div>This study investigates the profit-shifting activities of multinational firms in Vietnam from 2006 to 2019. Our results indicate that transfer pricing is the primary method of multinational profit shifting in Vietnam. Moreover, the responsiveness of reported operating profits to tax incentives is found only at subsidiaries of parent companies that originate in tax havens and mainly at large foreign subsidiaries but not smaller ones. We also find a significant shift in tax avoidance practices among foreign firms linked to tax havens after 2017, when stricter regulations aligned with standards by the Organization for Economic Cooperation and Development were enforced. Despite these changes, multinational tax avoidance persists. Our study suggests that cross-border multinational profit shifting is more complicated than previously known, and the dyadic profit-shifting pattern between tax havens and developing countries, such as Vietnam, deserves more attention.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101286"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178168","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101229
Alija Avdukic , Mehmet Asutay
Redistributive justice and stakeholder development have been central objectives of the Islamic moral economy for which Islamic banking was considered a facilitatory operational tool. Being its institutional form, the emergence of Islamic finance is, therefore, related to rescuing ‘human, land, labour and capital’ so that extended stake-holding governance can be achieved. As opposed to the institutional logic of conventional finance, within the Islamic moral economy paradigm, Islamic finance, theoretically, is expected to essentialise justice and equilibrium and equalise development opportunities for all stakeholders to fulfil their development path towards perfection. To assess the Islamic moral economy performance of Islamic banking, this paper uses HDI and GINI as the dependent variables to determine short-run and long-run relationships between Islamic banking growth and the development of the economy through socioeconomic indicators. The data covers the period 2000–2021 with fourteen countries with a systemic presence of Islamic finance, The results show that although Islamic banks did not cause an increase in inequality, as opposed to expectations, they neither caused a decrease in the sampled countries. As for the effect of Islamic banking expansion on human development, it positively contributes to human development only in the long run under certain conditions, which cannot be established in the short run. If sustained, this should be considered positive progress as opposed to the experience observed in the initial period of Islamic banking.
{"title":"Testing the development impact of islamic banking: Islamic moral economy approach to development","authors":"Alija Avdukic , Mehmet Asutay","doi":"10.1016/j.ecosys.2024.101229","DOIUrl":"10.1016/j.ecosys.2024.101229","url":null,"abstract":"<div><div>Redistributive justice and stakeholder development have been central objectives of the Islamic moral economy for which Islamic banking was considered a facilitatory operational tool. Being its institutional form, the emergence of Islamic finance is, therefore, related to rescuing ‘human, land, labour and capital’ so that extended stake-holding governance can be achieved. As opposed to the institutional logic of conventional finance, within the Islamic moral economy paradigm, Islamic finance, theoretically, is expected to essentialise justice and equilibrium and equalise development opportunities for all stakeholders to fulfil their development path towards perfection. To assess the Islamic moral economy performance of Islamic banking, this paper uses <em>HDI</em> and <em>GINI</em> as the dependent variables to determine short-run and long-run relationships between Islamic banking growth and the development of the economy through socioeconomic indicators. The data covers the period 2000–2021 with fourteen countries with a systemic presence of Islamic finance, The results show that although Islamic banks did not cause an increase in inequality, as opposed to expectations, they neither caused a decrease in the sampled countries. As for the effect of Islamic banking expansion on human development, it positively contributes to human development only in the long run under certain conditions, which cannot be established in the short run. If sustained, this should be considered positive progress as opposed to the experience observed in the initial period of Islamic banking.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101229"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141136131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101270
Long Wang , Wenjun Ji , Teng Zhang , Xiaoqian Liu
This study analyzes the impact of government–enterprise distance on the probability of outward foreign direct investment (OFDI) with matched data from Chinese prefecture-level municipal governments, the Chinese industrial enterprises database, and the directory of overseas investment enterprises. We determine that increased distance between the government and enterprises has a significant negative impact on the probability of enterprises’ OFDI. Mechanism analysis demonstrates that increased government–enterprise distance, which causes higher information search and relationship building costs, and decreased accessibility of public service, are the main reasons for this decline.
{"title":"Does distance from government hinder enterprises’ OFDI？Evidence from China","authors":"Long Wang , Wenjun Ji , Teng Zhang , Xiaoqian Liu","doi":"10.1016/j.ecosys.2024.101270","DOIUrl":"10.1016/j.ecosys.2024.101270","url":null,"abstract":"<div><div>This study analyzes the impact of government–enterprise distance on the probability of outward foreign direct investment (OFDI) with matched data from Chinese prefecture-level municipal governments, the Chinese industrial enterprises database, and the directory of overseas investment enterprises. We determine that increased distance between the government and enterprises has a significant negative impact on the probability of enterprises’ OFDI. Mechanism analysis demonstrates that increased government–enterprise distance, which causes higher information search and relationship building costs, and decreased accessibility of public service, are the main reasons for this decline.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101270"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101272
Chung-Hui Chou
The Friedman Doctrine states, “an entity's greatest responsibility lies in the satisfaction of the shareholders.” This leads us to consider managerial firms’ corporate social responsibility (CSR) activities delegated by profit-maximizing owners. Our research follows the Ferstman-Judd-Skilvas framework to examine if profit-maximizing owners could ask managers to be socially rather than privately concerned and its impacts on social welfare, contributing to the literature of CSR by presenting the following results. First, CSR delegation is a dominant strategy. Second, CSR delegation reduces the industry output level. We further show that consumers’ surplus and social welfare decrease in the number of managerial firms adopting CSR delegation. The above results imply that socially concerned managers with profit-maximizing owners are socially undesirable in a market with output delegation.
{"title":"Do consumers gain or lose when managers become socially concerned?","authors":"Chung-Hui Chou","doi":"10.1016/j.ecosys.2024.101272","DOIUrl":"10.1016/j.ecosys.2024.101272","url":null,"abstract":"<div><div>The Friedman Doctrine states, “an entity's greatest responsibility lies in the satisfaction of the shareholders.” This leads us to consider managerial firms’ corporate social responsibility (CSR) activities delegated by profit-maximizing owners. Our research follows the Ferstman-Judd-Skilvas framework to examine if profit-maximizing owners could ask managers to be socially rather than privately concerned and its impacts on social welfare, contributing to the literature of CSR by presenting the following results. First, CSR delegation is a dominant strategy. Second, CSR delegation reduces the industry output level. We further show that consumers’ surplus and social welfare decrease in the number of managerial firms adopting CSR delegation. The above results imply that socially concerned managers with profit-maximizing owners are socially undesirable in a market with output delegation.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101272"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178165","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-06-01DOI: 10.1016/j.ecosys.2024.101277
Masahiro Inoguchi
This paper explores how domestic factors affect the linkages between global market uncertainty and sovereign credit risk in emerging market economies (EMEs). First, we assess the dynamic conditional correlations (DCCs) between sovereign credit default swap spreads and the VIX as a measure of the linkage between sovereign risk and global financial uncertainty. Second, we estimate how domestic idiosyncratic factors influence the calculated DCCs for periods before, during, and after the global financial crisis (GFC). Our findings reveal that the sensitivity of sovereign risk to global financial uncertainty (the calculated DCC series) was higher during and after the GFC and in EMEs and responded to domestic economic conditions particularly in EMEs. Specifically, the magnitude of the DCCs was higher in EMEs with lower domestic stock market returns in the post-GFC period. In addition to the postcrisis period, domestic factors influenced the DCCs of EMEs before and during the GFC.
{"title":"The impact of global shocks on sovereign risk: Role of domestic factors","authors":"Masahiro Inoguchi","doi":"10.1016/j.ecosys.2024.101277","DOIUrl":"10.1016/j.ecosys.2024.101277","url":null,"abstract":"<div><div>This paper explores how domestic factors affect the linkages between global market uncertainty and sovereign credit risk in emerging market economies (EMEs). First, we assess the dynamic conditional correlations (DCCs) between sovereign credit default swap spreads and the VIX as a measure of the linkage between sovereign risk and global financial uncertainty. Second, we estimate how domestic idiosyncratic factors influence the calculated DCCs for periods before, during, and after the global financial crisis (GFC). Our findings reveal that the sensitivity of sovereign risk to global financial uncertainty (the calculated DCC series) was higher during and after the GFC and in EMEs and responded to domestic economic conditions particularly in EMEs. Specifically, the magnitude of the DCCs was higher in EMEs with lower domestic stock market returns in the post-GFC period. In addition to the postcrisis period, domestic factors influenced the DCCs of EMEs before and during the GFC.</div></div>","PeriodicalId":51505,"journal":{"name":"Economic Systems","volume":"49 2","pages":"Article 101277"},"PeriodicalIF":2.8,"publicationDate":"2025-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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