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Interdependence and contagion among industry-level U.S credit markets: An application of wavelet and VMD based copula approaches

Shahzad, Syed Jawad Hussain and Nora, Safwan Mohd and Kumar, Ronald R. and Mensi, Walid (2017) Interdependence and contagion among industry-level U.S credit markets: An application of wavelet and VMD based copula approaches. Physica A: Statistical Mechanics and its Applications, 466 . pp. 310-324. ISSN 0378-4371

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    Abstract

    This study examines the interdependence and contagion among U.S industry-level credit markets. We use daily data of 11 industries from 17 December 2007 to 31 December 2014 for the time-frequency, namely, wavelet squared coherence analysis. The empirical analysis reveals that Basic Materials (Utilities) industry credit market has the highest (lowest) interdependence with other industries. Basic Materials credit market passes cyclical effect to all other industries. The little “shift-contagion” as defined by Forbes and Rigobon (2002) is examined using elliptical and Archimedean copulas on the short-run decomposed series obtained through Variational Mode Decomposition (VMD). The contagion effects between U.S industry-level credit markets mainly occurred during the global financial crisis of 2007-08.

    Item Type: Journal Article
    Subjects: H Social Sciences > HA Statistics
    H Social Sciences > HG Finance
    Divisions: Faculty of Business and Economics (FBE) > School of Accounting and Finance
    Faculty of Business and Economics (FBE)
    Depositing User: Ronald Kumar
    Date Deposited: 24 Mar 2017 15:17
    Last Modified: 24 Mar 2017 15:17
    URI: http://repository.usp.ac.fj/id/eprint/9712

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