Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model

Tinghui Li · Junhao Zhong · Zimei Huang

57 citations0/0 files storedEmerging Markets Finance and Trade

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

The characteristics and dependence structures of financial cycles have become a central issue in macroeconomic policy. Our study quantifies the dependence of financial cycles in emerging and developed countries in January 1993–December 2017. We fit the marginal distributions of the financial cycles by applying an ARIMA-GARCH model and capture the dependence structures by selecting the optimal copula model. Our main findings indicate that the financial cycle has obvious characteristics that can be roughly divided into three stages. ARIMA (2,1,2) and GARCH (1,1) are fit the marginal distribution of the financial cycle. Emerging countries show more interdependence and a higher degree of dependence than developed countries. Several important policy and economic implications can be drawn from the empirical results of this study.

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References

2004Copula Methods in Finance 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2013The financial cycle and macroeconomics: What have we learnt?2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?2013Curbing the Credit Cycle 2014Do global factors impact BRICS stock markets? A quantile regression approach 2018Green loan and subsidy for promoting clean production innovation 2011Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity

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