MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN

2009 ◽  
Vol 08 (04) ◽  
pp. 803-818 ◽  
Author(s):  
JIANPING LI ◽  
XIAOLEI SUN ◽  
WAN HE ◽  
LING TANG ◽  
WEIXUAN XU
Keyword(s):  
Soviet Union ◽  
Former Soviet Union ◽  
Structural Breaks ◽  
Spillover Effects ◽  
Country Risk ◽  
Causality Test ◽  
Volatility Spillovers ◽  
Dynamic Correlations ◽  
Volatility Models ◽  
Icss Algorithm

Oil economies in the Former Soviet Union (FSU) region, with geographical proximity to each other, are usually impacted by some common risk factors, which make their country risks closely correlated. This paper focuses on correlation between country risks and investigates the spillovers of country risk returns (CRR). Taking Russia and Kazakhstan for example, firstly, this paper identifies the structural breaks in CRR series, using iterated cumulative sums of squares (ICSS) algorithm. Secondly, on the assumption that there may be similarity in structural breaks of CRR series of the two countries, Vector Autoregression (VAR) process and Granger causality test are used to identify whether there are mean spillovers of CRR series. Finally, the volatility spillovers are captured by using multivariate conditional volatility models in the framework of the BEKK models. Empirical results show that (1) there are significant unidirectional mean spillovers from Russia to Kazakhstan; (2) there are asymmetric bidirectional volatility spillovers between Russia and Kazakhstan; and volatility spillover effects from Russia to Kazakhstan are stronger.

The Impact of Structural Breaks on Volatility Linkages between Asian Stock and Oil Futures Markets

2016 ◽  
Vol 24 (1) ◽  
pp. 31-64
Author(s):  
Sang Hoon Kang ◽  
Seong-Min Yoon
Keyword(s):  
Futures Markets ◽  
Structural Breaks ◽  
Global Financial Crisis ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Volatility Spillovers ◽  
Icss Algorithm ◽  
The Global Financial Crisis ◽  
The Impact

This paper investigates the impact of structural breaks on volatility spillovers between Asian stock markets (China, Hong Kong, India, Indonesia, Japan, Korea, Singapore, and Taiwan) and the oil futures market. To this end, we apply the bivariate DCC-GARCH model to weekly spot indices during the period 1998-2015. The results reveal significant volatility transmission for the pairs between the Asian stock and oil futures markets. Moreover, we find a significant variability in the time-varying conditional correlations between the considered markets during both bullish and bearish markets, particularly from early 2007 to the summer of 2008. Using the modified ICSS algorithm, we find several sudden changes in these markets with a common break date centred on September 15, 2008. This date corresponds to the collapse of Lehman Brothers which is considered as our breakpoint to define the global financial crisis. Also, we analyse the optimal portfolio weights and time-varying hedge ratios based on the estimates of the multivariate DCC-GARCH model. The results emphasize the importance of overweighting optimal portfolios between Asian stock and the oil futures markets.

scholarly journals COMPARING CLIMATE COMMITMENTS: A MODEL-BASED ANALYSIS OF THE COPENHAGEN ACCORD

2011 ◽  
Vol 02 (02) ◽  
pp. 79-103 ◽  
Author(s):  
WARWICK J. MCKIBBIN ◽  
ADELE C. MORRIS ◽  
PETER J. WILCOXEN
Keyword(s):  
Soviet Union ◽  
Former Soviet Union ◽  
Global Economy ◽  
Spillover Effects ◽  
The United States ◽  
High Carbon ◽  
Copenhagen Accord ◽  
Zero Carbon ◽  
Carbon Prices ◽  
Model Based Analysis

The political accord struck by leaders at the United Nations negotiations in Copenhagen in December 2009 allows participants to express their greenhouse gas commitments in a variety of ways. This paper compares the environmental and economic performance of these disparate commitments using the G-Cubed model of the global economy. We focus on fossil-fuel-related CO2 and assume targets are achieved domestically. We show how different formulations make the same targets appear different in stringency and explore the Accord's spillover effects across countries. We find that commitments by Japan and Europe imply high carbon prices and relatively high GDP losses. The United States and China both have moderate carbon prices and moderate GDP effects. Australia and Eastern Europe/Former Soviet Union have relatively large GDP effects despite small or zero carbon prices because their terms of trade decline. OPEC suffers a large drop in GDP from a sharp decline in world oil demand.

scholarly journals Structural Breaks and Volatility Spillovers: The Case of the US and Canadian Stock Markets

2019 ◽  
Vol 11 (2) ◽  
pp. 30
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Returns ◽  
Structural Breaks ◽  
Structural Break ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Dummy Variables ◽  
Volatility Spillovers ◽  
Dummy Variable ◽  
The Us ◽  
Parameter Values

This paper investigates the relations of structural breaks and volatility spillovers by using the US and Canadian stock return data. Specifically, applying spillover MGARCH models without and with structural break dummy variables to the two stock returns, this study derives the following interesting evidence. (1) First, we reveal that for both the US and Canadian stock returns, the volatility persistence parameter values in our spillover MGARCH models decline when structural break dummy variables are incorporated. (2) Second, we further clarify that when we do not take structural breaks into account, the spillover effect was unidirectional from Canada to the US. However, when we take structural breaks into consideration, the results from our spillover MGARCH model with structural break dummies demonstrate that the volatility spillover effects between the US and Canada become bidirectional. (3) Third, we furthermore reveal that around the Lehman Brothers bankruptcy in 2008, the time-varying volatilities derived from our spillover MGARCH model with structural break dummy variables show slightly higher values than those volatilities from our spillover MGARCH model with no structural break dummy variable.

Shock and volatility spillovers between oil and emerging seven stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muzammil Khurshid ◽  
Berna Kirkulak-Uludag
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Design Methodology ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Causality Test ◽  
Content Type ◽  
Volatility Spillovers ◽  
Oil Market ◽  
High Level

Purpose This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach to analyze the volatility spillover from 1995 to 2019 were used. The findings provide evidence of significant volatility spillover between oil and Brazil, China, India, Indonesia, Mexico, Russia and Turkey (E7) stock markets. Findings All emerging seven stock markets exhibit positive and low constant conditional correlations with oil assets. The magnitude of the correlation changes in respond to the country’s net position in the crude oil market. While a relatively high level of correlation exists between oil and the stock markets of net oil-exporting countries, a relatively low level of correlation exists between oil and the stock markets of net oil-importing countries. Originality/value The findings suggest that oil asset improves the risk-adjusted performance of a well-diversified portfolio of stocks. However, investors should invest a larger portion of their portfolios in E7 stock markets than in oil.

Marital Stability Among Jewish and Mixed Couples Following Immigration to Israel From the Former Soviet Union

2012 ◽  
Vol 17 (2) ◽  
pp. 158-167 ◽  
Author(s):  
Yoav Lavee ◽  
Ludmila Krivosh
Keyword(s):  
Soviet Union ◽  
Cultural Identity ◽  
Social Adjustment ◽  
Former Soviet Union ◽  
Marital Stability ◽  
Marital Instability ◽  
Factors Associated ◽  
Mixed Marriages ◽  
Marital Outcomes ◽  
Jewish Immigrants

This research aims to identify factors associated with marital instability among Jewish and mixed (Jewish and non-Jewish) couples following immigration from the former Soviet Union. Based on the Strangeness Theory and the Model of Acculturation, we predicted that non-Jewish immigrants would be less well adjusted personally and socially to Israeli society than Jewish immigrants and that endogamous Jewish couples would have better interpersonal congruence than mixed couples in terms of personal and social adjustment. The sample included 92 Jewish couples and 92 ethnically-mixed couples, of which 82 couples (40 Jewish, 42 mixed) divorced or separated after immigration and 102 couples (52 Jewish, 50 ethnically mixed) remained married. Significant differences were found between Jewish and non-Jewish immigrants in personal adjustment, and between endogamous and ethnically-mixed couples in the congruence between spouses in their personal and social adjustment. Marital instability was best explained by interpersonal disparity in cultural identity and in adjustment to life in Israel. The findings expand the knowledge on marital outcomes of immigration, in general, and immigration of mixed marriages, in particular.

The Contribution of Pavlov's Typology of CNS Properties to Personality Research

1997 ◽  
Vol 2 (2) ◽  
pp. 125-138 ◽  
Author(s):  
Jan Strelau
Keyword(s):  
Soviet Union ◽  
Former Soviet Union ◽  
Animal Species ◽  
Special Significance ◽  
The West ◽  
Personality Dimensions ◽  
Personality Research ◽  
Personality Theories ◽  
Strength Of Excitation ◽  
Point Of Departure

This paper presents Pavlov's contribution to the development of biological-oriented personality theories. Taking a short description of Pavlov's typology of central nervous system (CNS) properties as a point of departure, it shows how, and to what extent, this typology influenced further research in the former Soviet Union as well as in the West. Of special significance for the development of biologically oriented personality dimensions was the conditioned reflex paradigm introduced by Pavlov for studying individual differences in dogs. This paradigm was used by Russian psychologists in research on types of nervous systems conducted in different animal species as well as for assessing temperament in children and adults. Also, personality psychologists in the West, such as Eysenck, Spence, and Gray, incorporated the CR paradigm into their theories. Among the basic properties of excitation and inhibition on which Pavlov's typology was based, strength of excitation and the basic indicator of this property, protective inhibition, gained the highest popularity in arousaloriented personality theories. Many studies have been conducted in which the Pavlovian constructs of CNS properties have been related to different personality dimensions. In current research the behavioral expressions of the Pavlovian constructs of strength of excitation, strength of inhibition, and mobility of nervous processes as measured by the Pavlovian Temperament Survey (PTS) have been related to over a dozen of personality dimensions, mostly referring to temperament.

Transmigration und Kapitalismus

2005 ◽  
Vol 35 (140) ◽  
pp. 407-422
Author(s):  
Julia Bernstein
Keyword(s):  
Soviet Union ◽  
Former Soviet Union ◽  
Different Sources

Based on an ethnographical study the article presents the problems of Soviet migrants with capitalistic every day life. The reaction of the migrants and the role of their imagination of capitalism, which was formed by different sources in the former Soviet Union, is investigated.

Gemstone deposits of the former Soviet Union

1998 ◽  
Vol 26 (2) ◽  
pp. 111-125 ◽  
Author(s):  
Ernst M. Spiridonov
Keyword(s):  
Soviet Union ◽  
Former Soviet Union
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