Topics in Middle Eastern and North African Economies
Document Type
Article
Publication Date
5-1-2023
Journal Title
Topics in Middle Eastern and North African Economies
Volume
25
Issue
1
Publisher
Middle East Economic Association and Loyola University Chicago
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.
ISSN
2334-282X
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.