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Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches
Physica A: Statistical Mechanics and its Applications (2017)
  • Syed JH Shahzad
  • Safwan M Nor, University of Malaysia Terengganu, Malaysia
  • Ronald R Kumar, University of the South Pacific - Fiji
  • Walid Mensi
Abstract
This study examines the interdependence and contagion among US 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 US industry-level credit markets mainly occurred during the global financial crisis of 2007–08.
Disciplines
Publication Date
January, 2017
DOI
10.1016/j.physa.2016.09.008
Citation Information
Syed JH Shahzad, Safwan M Nor, Ronald R Kumar and Walid Mensi. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches" Physica A: Statistical Mechanics and its Applications Vol. 466 (2017) p. 310 - 324 ISSN: 0378-4371
Available at: http://works.bepress.com/ronald_ravinesh_kumar/45/