Topics in Middle Eastern and North African Economies

Document Type

Article

Publication Date

5-1-2023

Abstract

This study examines the impact of global financial market conditions on risk connectedness and transmission among MENA economies. Using weekly stock market volatilities and a smooth transition threshold vector autoregressive model, the authors analyze risk transmission under varying financial stress levels. Results show stronger risk interdependency during high-stress periods, with Kuwait, Oman, Qatar, Saudi Arabia, Turkey, and the UAE as net risk transmitters. The regime-dependent model reveals stronger risk transmission compared to the overall mean-based VAR model.

Journal Title

Topics in Middle Eastern and North African Economies

ISSN

2334-282X

Publisher

Middle East Economic Association and Loyola University Chicago

Volume

25

Issue

1

Comments

Presentation of the articles in the Topics in Middle Eastern and North African Economies was made possible by a limited license granted to Loyola University Chicago and Middle East Economics Association from the authors who have retained all copyrights in the articles.

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

Included in

Economics Commons

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