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
Recommended Citation
Balcilar, Mehmet and Usman, Ojonugwa, "Regime-Dependent Financial Risk Transmission and Connectedness in MENA Economies: A Smooth Transition Threshold Vector Autoregressive Analysis". Topics in Middle Eastern and North African Economies, electronic journal, 25, 1, Middle East Economic Association and Loyola University Chicago, 2023, http://www.luc.edu/orgs/meea/
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.
Copyright Statement
© The Author(s), 2023
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.