Dynamic Spatial Spillover Effects of Financial Risk: A Comparative Analysis between the Subprime Crisis and the COVID-19 Crisis
13th International Conference on E-Business, Management and Economics, ICEME 2022
; : 406-412, 2022.
Article
in English
| Scopus | ID: covidwho-2194090
ABSTRACT
The subprime crisis and the COVID-19 crisis have severely impacted the development of global financial stability, which arouses scholars' thinking about the financial risk. Clarifying the contagion mechanism and spatial spillover effect of financial risk under the subprime crisis and the COVID-19 crisis is of great significance for preventing and controlling financial risk. This paper explores and compares the main contagion mechanism, contagion channels, and spatial spillover effects of financial risk during the subprime crisis and the COVID-19 crisis by using the dynamic Spatial Dubin Model. The results show that the transnational contagion mechanism of financial risk during the subprime crisis is the monsoon effect. The inflation rate has a positive spatial spillover effect on financial risk. During the COVID-19 crisis, the transnational contagion mechanism of financial risk is the spillover effect. Net exports and stock market returns have positive spatial spillover effects on financial risk. Financial risk is mainly transmitted across borders through commodity prices during the subprime crisis, while during the COVID-19 crisis, it's through trade exchanges and financial capital flows. In addition, the spatial contagion intensity of financial risks during the COVID-19 crisis is higher than during the subprime crisis. This paper provides experience and reference for countries to formulate financial risk prevention plans. © 2022 ACM.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
/
Prognostic study
Language:
English
Journal:
13th International Conference on E-Business, Management and Economics, ICEME 2022
Year:
2022
Document Type:
Article
Similar
MEDLINE
...
LILACS
LIS