Structural Impact of the US Financial Stress on the Connectedness Between Asian Economies: Evidence From the Quantile Connectedness Approach
本研究使用分位数关联性方法，基于15年数据分析了10个亚洲经济体与美国之间的金融压力关联性，发现压力冲击在极端分位数下溢出效应更大，但美国压力对亚洲区域关联性的影响在中位数分位数上相对更大，香港和新加坡是主要溢出经济体，政策上建议亚洲国家加强区域贸易和资本流动政策协调。
ABSTRACT This study investigates financial stress connectedness across diverse levels of stress using the novel quantile connectedness methodology between 10 Asian economies and the United States considering 15 years of data. We find that the size of connectedness increases due to the spillover of financial stress shock at both higher (right tail) and lower (left tail) quantiles than at the median. However, the impact of US financial stress on the regional connectedness of Asian countries is relatively larger at the median quantile than at the 5th and 95th quantiles. This impact is very marginal for European countries across the quantiles. Hong Kong and Singapore emerged as the major economies across the quantiles of financial stress shock spillover both in the regional and global systems. In the rolling window framework, while the total financial stress spillover indices vary in a small range, the net directional position of each country changes from transmitter to receiver of financial stress and vice versa throughout the study period in both regional and global systems. The major policy implication for the Asian countries is to bring regional orientation to their policies related to trade and capital flows.