Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions

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dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorUsman, Ojonugwa
dc.contributor.authorDuman, Gazi Murat
dc.date.accessioned2024-10-12T19:42:55Z
dc.date.available2024-10-12T19:42:55Z
dc.date.issued2024
dc.departmentİstanbul Ticaret Üniversitesien_US
dc.description.abstractThis study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk transmission under varying levels of financial stress, the authors also examine the impact of external macroeconomic conditions on the risk connectedness of MENA economies. The results indicate that the overall connectedness, based on a standard VAR model, is moderate at 48.34%. However, in the low financial stress regime, overall connectedness increases to 52.79%, and in the high financial stress regime, it rises to 72.94%, indicating stronger risk interdependency among MENA countries during times of high stress. In the high financial stress regime, Kuwait, Oman, Qatar, Saudi Arabia, Turkey, and the United Arab Emirates are identified as net risk transmitters among MENA countries. The study also reveals that risk transmission across MENA is more pronounced in the regime-dependent model compared to the overall mean-based VAR model.en_US
dc.identifier.doi10.1016/j.ememar.2024.101186
dc.identifier.issn1566-0141
dc.identifier.issn1873-6173
dc.identifier.scopus2-s2.0-85199956469en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1016/j.ememar.2024.101186
dc.identifier.urihttps://hdl.handle.net/11467/8658
dc.identifier.volume62en_US
dc.identifier.wosWOS:001286419800001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofEmerging Markets Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmzWoS_2024en_US
dc.subjectFinancial connectednessen_US
dc.subjectRisk transmissionen_US
dc.subjectEconomic uncertaintyen_US
dc.subjectFinancial conditionsen_US
dc.subjectRegime switchingen_US
dc.subjectMENAen_US
dc.titleNonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditionsen_US
dc.typeArticleen_US

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