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Business-linkage volatility spillovers between US industries

journal contribution
posted on 25.03.2020 by Linh X. D. Nguyen, Simona Mateut, Thanaset Chevapatrakul
We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade relationship between industries. An industry that is more important to its trade partner – as measured by the shares of inputs or revenue – tends to have stronger volatility spillovers toward its partner and it is less affected by the volatility originating from its partner. Importantly, the strength of the business relationship appears highly relevant for shock spillovers in bad market conditions and is also confirmed at the portfolio level.

History

Citation

Journal of Banking and Finance, 111, (2020) 105699

Author affiliation

School of Business

Version

AM (Accepted Manuscript)

Published in

Journal of Banking and Finance

Volume

111

Publisher

Elsevier BV

issn

0378-4266

Acceptance date

13/11/2019

Copyright date

2019

Available date

15/11/2019

Publisher version

https://www.sciencedirect.com/science/article/pii/S0378426619302730

Language

en

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