Interest Rate Risk Contagion and Trading Across Borders in Europe

• Main Authors: Ying-Chun Lin, 林盈君
• Other Authors: Chih-Liang Liu
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/30791694707618153603

碩士 === 國立雲林科技大學 === 財務金融系 === 102 === Existing literature rarely explore the link between interest rate risk and trade market. This paper contributes to the literatures by examining the relationship between interest rate risk contagion and international trade in European countries, further exploring the mediating effect of exchange rate. Using the modified CoVaR model to measure interest rate risk contagion from the US credit risk to the liquidity risk of European countries, the empirical results find that the interest rate risk contagion significantly affects international trade market, particularly when considering the role of exchange rate.