Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring
(2019)
Journal Article
Elsayed, A. H., & Yarovaya, L. (2019). Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring. Journal of International Financial Markets, Institutions and Money, 62, 20-34. https://doi.org/10.1016/j.intfin.2019.05.004
In this paper we analyse the impact of instability caused by the Arab Spring on the co-movements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude... Read More about Financial Stress Dynamics in the MENA Region: Evidence from the Arab Spring.