Global Financial Risk Thresholds and Business Cycle Fluctuations: A Dynamic Heterogeneity Model Approach

ABSTRACT This study constructs a dynamic heterogeneity threshold model using unbalanced panel data from 146 countries/regions (1984–2017). The findings show that (1) financial risk has a non-linear effect on business cycle fluctuations and a significant global financial risk threshold effect; (2) the threshold of financial risk is significantly lower in emerging market economies than in developed and latecomer market economies; (3) in the long-run, regardless of the threshold effect, once financial risk expands, it will exacerbate business cycle fluctuations; and (4) the threshold effect of different potential financial risks on business cycle fluctuations is heterogeneous.

• Publication year

  2021

• Venue

  Global Economics Review

• Publication date

  2021-10-02

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1080/1226508X.2021.2004906
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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