The Impact of the Belt and Road Initiative (BRI) on Financial Contagion between China and Emerging Markets
Description:
This project explores the BRI’s immediate effects on the financial interdependence between China and a set of countries. The objectives include exploring risk transmission, measuring the impact of the BRI in such a scenario, and comparing the dynamics of correlation–volatility between BRI countries series over time. Drawing on financial econometrics, the methodological approach uses the Diebold-Yilmaz method to assess bidirectional causality, measure net effects, and evaluate changes in their structure over time. To this end, the project seeks to understand the impact of the BRI on the financial interdependence of the countries analyzed, and to discern those most susceptible to fluctuations in Chinese actions in terms of correlation coefficient and volatility transmission, which is crucial for portfolio allocation, risk management, derivative pricing, and financial stability.
Participating institutions:
- Center for China and Asia-Pacific Studies
Main researchers:
Walter Bazán
Research Affiliate
Diego Winkelried
Affiliated Researcher
