ECONOMETRIC ANALYSIS OF MUTUAL INFL UENCE OF RUSSIA AND THE DEVELOPED COUNTRIES
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ECONOMETRIC ANALYSIS OF MUTUAL INFL UENCE OF RUSSIA AND THE DEVELOPED COUNTRIES
Annotation
PII
S042473880000616-6-1
Publication type
Article
Status
Published
Authors
Dmitry Afanasyev 
Elena Fedorova
Pages
36-49
Abstract
This study examines issues of the level assessment of monetary, fi nancial, macroeconomic and trade integration between Russia and four developed countries - China, Germany, the United Kingdom and the USA. The changes of integration level in the crisis periods were analyzed, and the presence or absence of spillover-effects in the respective channels of contagion was concluded. The research methodology is vector autoregressive model with Markov regime-switching and the analysis of estimated covariance matrix. The study shows that the spillover-effect most likely occurs between Russia and United Kingdom (fi nancial, macroeconomic and trade channels), while is completely missing with China. A spill-over effect in trade and fi nance - a channel of contagion -was revealed between Russia and the United States and Germany, respectively.
Keywords
crisis, channels of contagion, spillover-effect, Markov regime-switching model
Date of publication
01.07.2016
Number of purchasers
0
Views
88
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