Spatial Interactions and the Spread of COVID-19: A Network Perspective

We use unique data on the travel history of confirmed patients at a daily frequency across 31 provinces in China to study how spatial interactions influence the geographic spread of pandemic COVID-19. We develop and simultaneously estimate a structural model of dynamic disease transmission network formation and spatial interaction. This allows us to understand what externalities the disease risk associated with a single place may create for the entire country. We find a positive and significant spatial interaction effect that strongly influences the duration and severity of pandemic COVID-19. And there exists heterogeneity in this interaction effect: the spatial spillover effect from the source province is significantly higher than from other provinces. Further counterfactual policy analysis shows that targeting the key province can improve the effectiveness of policy interventions for containing the geographic spread of pandemic COVID-19, and the effect of such targeted policy decreases with an increase in the time of delay.

Risk transmission between equity market of China and its trading partners: new evidence from various financial crises

PurposeThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crises episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak).Design/methodology/approachThe authors use the GARCH and Wavelet approaches to estimate causalities and connectedness.FindingsAccording to the findings, China and developed equity markets are connected via risk transmission in the long term across various crisis episodes. In contrast, China and emerging equity markets are linked in short and long terms. The authors observe that China leads the stock markets of India, Indonesia and Malaysia at higher frequencies. Even China influences the French, Japanese and American equity markets despite the Chinese crisis. Finally, these causality findings reveal a bi-directional causality among China and its developed trading partners over short- and long-time scales. The connectedness varies across crisis episodes and frequency (short and long run). The study's findings provide helpful information for portfolio hedging, especially during various crises.Originality/valueThe authors examine the volatility connections between the equity markets of China and its trading partners from developed and emerging markets during the various crisis episodes (i.e. the Asian Crisis of 1997, the Global Financial Crisis, the Chinese Market Crash of 2015 and the COVID-19 outbreak). Previously, none of the studies have examined the connectedness between Chinese and its trading partners' equity markets during these all crises.

Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies

This paper investigates the extreme dependence and risk spillovers between Bitcoin and the currencies of the BRICS and G7 economies. We find time-varying dependence between Bitcoin and all currencies. Moreover, when analysing risk spillovers from Bitcoin to currencies, we find that Bitcoin exercises significant power over most currencies, with the South African rand and Brazilian real holding both the highest downside and upside risk before and during the COVID-19 pandemic period, respectively. When considering risk spillovers from currencies towards Bitcoin, the Japanese yen exhibits the highest downside spillovers. Importantly, we find asymmetric spillovers between extreme upward and downward movements. • We study dependencies between Bitcoin and the currencies of the BRICS and G7 economies. • We find time-varying dependence between Bitcoin and all of the fiat currencies. • Bitcoin exercises significant power over most of the considered currencies. • We find asymmetric spillovers between extreme upward and downward movements. [ FROM AUTHOR] Copyright of Emerging Markets Review is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full . (Copyright applies to all s.)

Spillovers of COVID-19 on Employment and Income in Peru

This paper estimates the spillovers effects of COVID-19 on employment (total, formal, and informal) and real income of a group of Peruvian provinces called "treated or treatment" in the period of the virus 2020-II-2021-IV. These spillovers are associated with the beha-vior of people who broke the confinement, crowded into relatively small spaces, and did not use protective measures against COVID-19. The measurements of these effects are based on Cao and Dowd (2019), and on the INEI-ENAHO National Household Survey (2022) for the period 2011.I-2021-IV, which is the main database of the study. Two main results of the study are, on the one hand, that COVID-19 and the confinement policies and transfers to the poor and companies contributed on average to more than 50% of the decrease in total employment, formal employment, and real income (of the economically active population employed in the province), and to the increase in informality for the group of provinces covered. On the other hand, the spillovers effects attenuated the negative effects of the decrease in formal employment and real income in said provinces.

Volatility spillovers among major tourism stock indices during Covid-19 pandemic

This paper examines the dynamics of volatility spillovers among five major tourism stock indices during the Covid-19 period. Our paper enriches the current literature as it is the first paper to investigate the volatility spillovers among major global tourism stock indices by adopting Diebold and Yilmaz (2012. Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. ), and Barunik and Krehlik (2018. Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Journal of Financial Econometrics, 16(2), 271–296.) time and frequency domain methods. Results suggest that total spillovers of the tourism stock indices rose significantly during the pandemic. Turkey and Italy are net volatility spillover transmitters, and others are net volatility spillover receivers. Findings of this study also indicates that the effect of volatility transmission among tourism stock markets is temporary (short-lasting). The results suggest that short-term investors and portfolio managers should avoid investing in the tourism indices in the short term.

The Spillover Effects of US Unconventional Monetary Policy on Inflation and Non-Inflation Targeting Emerging Markets

This study employs the panel vector autoregressive (PVAR) model to examine the spillover effect of US unconventional monetary policy on inflation and non-inflation targeting emerging markets post credit crunch and during COVID-19 from 2000Q1 to 2020Q4. Unlike other analyses, this paper adds to the existing body of knowledge by employing a dummy variable to represent the United States' quantitative easing. Other included control variables are equity prices, the federal reserve rate, the exchange rate, central bank assets and the short-term interest rate. This paper estimated two-panel VARs, Model one and Model two, for inflation and non-inflation targeting emerging markets, respectively. Model one consists of eight inflation-targeting markets, and Model two consists of four non-inflation-targeting countries. Other included control variables are equity prices, the federal reserve rate, the nominal effective exchange rate, and the central bank policy rate. According to the empirical results, the US unconventional monetary policy induces a surge in the exchange rate and a decrease in the central bank policy rate for both inflation and non-inflation targeting emerging markets. However, there was no significant impact on the equity prices. The empirical results are statistically significant, robust, and consistent with previous studies except for the response of equity prices. Unconventional monetary policy is effective in steering macroeconomic variables in developed economies. The monetary policymakers in emerging markets must also use the currency reserve to stabilise the macroeconomic variables in response to US unconventional monetary policy shocks.

Different Moments Create Different Spillovers: A Study of Commodity Markets

Although the spillover effects of return and volatility risk across commodity markets have been demonstrated, evidence of extreme risk spillovers is limited. Using an autoregressive conditional density model, this study estimates the conditional skewness of nine S&P Goldman Sachs Commodity indices and then applies the Diebold-Yilmaz TVP-VAR-based approach to investigate the higher moment spillovers across commodity markets. Our findings provide evidence of extreme risk transfers from one commodity index to another. Among three energy indices including crude oil, natural gas and gasoil, crude oil transmits the most return, volatility risk and extreme risk to the agricultural indices and precious metal indices. Furthermore, our results confirm that spillovers in all three moments were significantly strengthened by extreme events such as the September 11 attacks, the global financial crisis, the food price crisis, the violent shock of international oil prices and the coronavirus disease of 2019. However, different events may have different impacts on spillovers. Finally, the results indicate that return spillover and skewness are affected by extreme events with almost the same intensity and direction for most periods.

Monetary Policy Shocks and Resource Misallocations in the Periphery: Evidence from Chinese Provincial Bond Yields

We examine the effects of monetary expansions in the center on the excess yields of government bonds in the periphery. We show that the excess yields widen, and the widening is larger, the larger the misallocation of resources in the periphery. Specifically, we examine a panel of over 2500 local Chinese government bonds in 31 provinces, and find that the expansion of Chinese money supply surprisingly raises the excess yields of local bonds over Chinese sovereign bonds, and the gap is larger, the higher the degree of misallocation or other institutional failures in the province. By treating Chinese provinces as small emerging market open economies, we can draw implications for periphery countries in a common currency area, of an expansion in money supply in the center. Our results suggest that the increase in global liquidity post the 2009 and Covid-19 crises can lead to future fragility in the periphery countries.

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets.

The role of the G20 in global governance has been increasingly prominent in the context of the extensive spread of coronavirus disease 2019 and the aggravation of financial risk contagion. Detecting the risk spillovers among the G20 FOREX markets is crucial to maintain financial stability. Therefore, this paper first adopts a multi-scale approach to measure the risk spillovers among the G20 FOREX markets from 2000 to 2022. Furthermore, the key markets, the transmission mechanism, and the dynamic evolution are researched based on the network analysis. We derive the following findings: (1) The magnitude and volatility of the total risk spillover index of the G20 countries are highly associated with extreme global events. (2) The magnitude and volatility of risk spillovers among the G20 countries are asymmetric in the different extreme global events. (3) The key markets in the risk spillover process are identified, and the USA always occupies a core position in the G20 FOREX risk spillover networks. (4) In the core clique, the risk spillover effect is obviously high. In the clique hierarchy, as the risk spillover effect is transmitted downward, the risk spillovers present the decrease trends. (5) The density, transmission, reciprocity, and clustering degrees in the G20 risk spillover network during the COVID-19 period are much higher than that in other periods.

Uncertainty before and during COVID-19: A survey.

This survey features three parts. The first one reviews the most recent literature on the relationship between domestic (i.e., country-specific) uncertainty and the business cycle, and offers ten main takeaways. The second part surveys contributions to the fast-growing strand of the literature that focuses on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part presents contributions on the role played by uncertainty during the COVID-19 pandemic.

Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China.

The COVID-19 crisis seriously impacted the global economy and supply chain system. Unlike previous studies, this paper examines the risk spillover effects within the supply chain system rather than between financial and other specific industries. The hypotheses are proposed by developing and simulating an agent-based model; the copula-conditional value at risk model is employed to empirically validate these hypotheses in China during the COVID-19 crisis. The findings reveal that risks are transmitted and amplified from downstream, through midstream to upstream. Additionally, the financial industry amplifies the risk spillover from the midstream to the upstream and downstream. Moreover, the risk spillovers exhibit significant time-varying characteristics, and policy interventions can potentially mitigate the effect of such spillovers. This paper provides a theoretical basis and empirical evidence for risk spillover in supply chain systems and offers suggestions for industrial practitioners and regulators.

Lockdown spillovers.

Lockdowns imposed to fight the Covid-19 pandemic have cross-border effects. In this paper, we estimate the empirical magnitude of lockdown spillovers in a set of panel local projections. We use daily indicators of economic activity such as stock returns, effective exchange rates, NO2 emissions, mobility and maritime container trade. Lockdown shocks originating in the most important trading partners have a strong and significant adverse effect on economic activity in the home economy. For stock prices and exports, the spillovers can even be larger than the effect of domestic lockdown shocks. The results are robust with respect to alternative country weights used to construct foreign shocks, i.e. weights based on foreign direct investment or the connectedness through value chains. We find that lockdown spillovers have been particularly strong during the first wave of the pandemic. Countries with a higher export share are particularly exposed to lockdown spillovers.

Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach

In this study, we introduce a novel time-varying parameter vector autoregressive frequency connectedness approach to obtain refined measures of the frequency transmission mechanism and dynamic integration among six well-established crude oil benchmarks. The period of investigation ranges from May 14th, 1996 to December 3rd, 2020 and focuses on the differences between short-term (1–5 days) and long-term (6–100 days) crude oil volatility connectedness. Findings are suggestive of relatively strong co-movements among crude oil volatility over time. For most part of the sample period, connectedness occurs in the short-run;nonetheless, starting approximately in 2010, long-run connectedness gains much prominence until at least the end of 2015. Long-run connectedness is also prevalent at the beginning of 2020 caused by the COVID-19 pandemic. We opine that periods of increased long-run connectedness relate to deeper changes in the market for crude oil that bring about new dynamics and associations within the specific network.

Dynamic connectedness, asymmetric risk spillovers, and hedging performance of China's green bonds

In this paper, we analyze the dynamic connectedness and asymmetric risk spillovers among China's green bonds, bonds, stock, and crude oil markets in terms of magnitude, direction, and patterns by utilizing the DCC-GARCH-t-Copula model. We then evaluate the hedging performance of China's green bonds and compare it before and after the COVID-19 pandemic. Our empirical results demonstrate that, on average, green bonds display significantly lower extreme risk and have weak connectedness with stock and crude oil markets. The spillover effect of green bonds and crude oil risk is particularly pronounced;however, there are weak green bonds-stock risk spillover effects. Subsequent to the COVID-19 outbreak, the green bonds market is more resilient to extreme bonds market declines and offer improved hedging potential for bonds.. Our findings furnish an up-to-date picture and invaluable information for the portfolio, risk management, and hedging strategies for pro-environmental investors in emerging green bonds markets.

Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market

Given Qatar's economic structure and geographical features, we examine the likely spillovers among natural gas, liquid natural gas (LNG), trade policy uncertainty (TPU), and stock markets using the spillover index developed by Diebold and Yilmaz (2012). The results show considerable spillover among the aforementioned variables. Natural gas and LNG are the net receivers of spillovers, whereas TPU and the stock market are net spillover transmitters. TPU had the lowest sensitivity in the network system, whereas natural gas and LNG had the highest sensitivities. Moreover, the measure of spillovers varies over time and jumps during financial and COVID-19 crises. TPU and the stock market were the strongest driving forces of spillover. In addition, while the stock market has the highest transmission of natural gas and LNG, consistent with the energy-oriented structure of corporations in Qatar's stock market, it showed the highest sensitivity to LNG and natural gas. Both forms of energies—natural gas and LNG—indicate noticeable sensitivity to the stock market and TPU, respectively. Moreover, TPU is more sensitive to natural gas and LNG shocks. These results have significant implications for investors, policymakers, and governments.

Quantile connectedness between oil price shocks and exchange rates

Oil is an energy resource and a driver of global economic activities. The increasing need for oil amplifies its trade and places pressure on the current account balance, which causes exchange rate fluctuations. We transcend the mean-based connectedness measures to explore the oil shocks-exchange rates nexus from an asymmetric perspective. With daily data from 07-03–1996 to 22-08-2022, we analyse the quantile dynamic spillovers between oil price shocks and exchange rates of oil-exporting and oil-importing economies. We show that shock sizes shape the system returns and volatility connectedness, with lower-tailed and upper-tailed shocks having a greater influence on the system connectedness than shocks modelled at the conditional median. By demonstrating asymmetry, the findings emphasise that for a detailed comprehension of the oil shocks-exchange rates connectedness under extreme shocks, it is necessary to go beyond mean-based connectedness metrics. The implications of our findings are important for investors, policymakers, and practitioners.

From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets

This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

What Information Variables Predict Bitcoin Returns ? A Dimension- Reduction Approach

This article investigates the determinants of Bitcoin returns. The authors consider a comprehensive set of information variables under five categories: macroeconomics, blockchain technology, other assets, stress level, and investor sentiment. Their approach toward this large dataset is built upon dimension-reduction models such as Backward Elimination, least absolute shrinkage and selection operator (LASSO), principal component regression (PCR), and three-pass regression filter (3PRF). The empirical results show that blockchain technology, stress level, and investor sentiment have positive, negative, and positive predicting power on Bitcoin returns, respectively. Macroeconomic variables exhibit insignificant impacts on Bitcoin returns. Other asset variables show little predicting power until 2019, but some become a significant predictor during the COVID-19 pandemic. Overall, the authors caution against using Bitcoin as a risk-hedging device in financial portfolios. They also find that, consistent with other financial assets such as equities, Bitcoin shows increased predictability with a longer return horizon. Due to their empirical results, they also advocate the use of 3PRF;relative to other dimension-reduction methods under consideration, they observe superior performance of 3PRF in predicting both the level and the direction of future Bitcoin returns across all return horizons.

Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis

This paper investigates volatility spillovers between energy and stock markets during periods of crises. Our main findings reveal that transmissions of volatilities among these markets during the Covid-19 pandemic crisis exceeded the ones recorded throughout the 2008 global financial crisis. All stock markets are net transmitters of volatility to energy markets during the 2008 global financial crisis while they show different patterns during the Covid-19 crisis. We also provide evidence of asymmetric volatility spillovers among stock and energy markets. Our results also indicate that on average natural gas provides better hedging effectiveness to the stock markets than crude oil.

Safe havens in Islamic financial markets: COVID-19 versus GFC

Using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model, this study compares the safe-haven properties of various assets against the major Gulf Cooperation Council (GCC) stock indexes during two periods of financial turmoil, the COVID-19 pandemic and the 2008 Global Financial Crisis (GFC). Sovereign bonds offered the highest hedging benefits under both crises. The traditional safe assets, gold and silver, which were reasonably productive under the GFC, have been less so during the pandemic. The Japanese yen emerged as a very safe choice for investors holding GCC stock indexes. Both sector indexes and stock indexes failed to safeguard investors most of the time during each crisis.