Dynamic Spillover Effects of Global Financial Stress : Evidence from the Quantile VAR Network

This paper investigates the spillover effects of financial stress at different quantiles across the US, China, Eurozone, Japan, UK, and India. The findings suggest significant spillover effects among the six countries (regions), and the spillovers in extreme markets is apparently higher than those in normal markets. The US is the main transmitter of financial stress spillovers, while Japan and India are the net receivers. Furthermore, we show that the stress spillovers are time-varying, and the connectedness at the extreme upper and lower quantiles is asymmetric. In extreme markets, the directional spillover effects of China, India and Japan are significantly enhanced