Tail-risk spillovers and interconnectedness in international logistics markets: a QVAR approach DOI Creative Commons
Huthaifa Alqaralleh, Rim El Khoury, Muneer M. Alshater

et al.

Cogent Economics & Finance, Journal Year: 2024, Volume and Issue: 12(1)

Published: Oct. 12, 2024

This research explores the interdependence within international logistics sector among 17 nations, utilizing a quantile-based technique to assess transmission of returns. By analyzing daily data from DataStream spanning 1 June 2016, 12 August 2024, we apply Quantile Vector Autoregression framework examine synchronous behavior variables, considering magnitude shocks. Our findings reveal varying degrees linkage at lower, median, and upper quantiles conditional distribution. The results show that extreme events, such as COVID-19 pandemic Russia-Ukraine war, significantly amplified spillovers across markets, while impact Israel-Hamas conflict was more regionally contained. Regional clustering geographical proximity play crucial role, with stronger interconnections observed neighboring countries, US Canada, Germany France. stands out dominant transmitter shocks, countries in Asia Oceania tend be net receivers, highlighting their vulnerability external disruptions. These underscore need for risk assessments regulatory frameworks management strategies better manage asymmetric transmissions during global crises.

Language: Английский

Tail-risk spillovers and interconnectedness in international logistics markets: a QVAR approach DOI Creative Commons
Huthaifa Alqaralleh, Rim El Khoury, Muneer M. Alshater

et al.

Cogent Economics & Finance, Journal Year: 2024, Volume and Issue: 12(1)

Published: Oct. 12, 2024

This research explores the interdependence within international logistics sector among 17 nations, utilizing a quantile-based technique to assess transmission of returns. By analyzing daily data from DataStream spanning 1 June 2016, 12 August 2024, we apply Quantile Vector Autoregression framework examine synchronous behavior variables, considering magnitude shocks. Our findings reveal varying degrees linkage at lower, median, and upper quantiles conditional distribution. The results show that extreme events, such as COVID-19 pandemic Russia-Ukraine war, significantly amplified spillovers across markets, while impact Israel-Hamas conflict was more regionally contained. Regional clustering geographical proximity play crucial role, with stronger interconnections observed neighboring countries, US Canada, Germany France. stands out dominant transmitter shocks, countries in Asia Oceania tend be net receivers, highlighting their vulnerability external disruptions. These underscore need for risk assessments regulatory frameworks management strategies better manage asymmetric transmissions during global crises.

Language: Английский

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