Development studies and Financial Economics Quantile based Methods, Variety of VARs, Data Mining, Machine-Learning, Big data Analysis, Econometric Modelling

PhD Researcher, Laboratory of International & Regional Economics (LIRE), Graduate School of Economics and Management (GSEM), Ural Federal University, Yekaterinburg, Russia. Reference: Global, Local, or Glocal? Unravelling the Interplay of Geopolitical Risks and Financial Stress Geopolitical risks (GPRs) have potential to amplify risks across the entire financial system. At the same time, since the start of the current decade, regionalization of trade and investment flows has led to complex coupling in local (country-level) and global risks. To-date, little is known about how global uncertainty interacts with local uncertainty across the financial systems. Our study investigates the nexus between global and country-specific GPRs and financial stress index (FSI) in five highly-open, large developed economies. We employ the cross-quantilogram and cross-spectral quantile coherency approaches on weekly data over 2000-2022 to show heterogeneous dependency between local and global uncertainty effects for the U.S. and the UK under varying market conditions. Canadian FSI is influenced by both global and country-level geopolitical risks, whereas German and French financial systems exhibit significant resilience to global geopolitical shocks. Hence, the latter markets show hedging properties vis-a-vis global geopolitical shocks. Keywords: Quantile Dependence, Financial Stress Index, Global GPR, Country Level GPR, Open Economy, Cross-Quantilogram, Cross-Spectral Quantile Coherency