Special Issue "COVID-19 and the Stability of the Financial System"

A special issue of International Journal of Financial Studies (ISSN 2227-7072).

Deadline for manuscript submissions: 27 August 2021.

Special Issue Editor

Special Issue Information

Dear Colleagues,

The COVID-19 pandemic has generated an unprecedented human, health, and economic crisis. There is great uncertainty about its severity and duration. International reports clearly show that the financial system has received a substantial negative impact, and any further intensification of the crisis could affect global financial stability.

International prices of risk assets have fallen sharply, while credit spreads have jumped, especially for lower-rated firms. Moreover, signs of stress have also emerged in major short-term funding markets, including the global market for U.S. dollars. As a result, market liquidity has deteriorated significantly, leading to massive and unexpected asset price moves. As a result, central banks across the globe have been the first line of defense, significantly easing monetary policy through reduced policy rates, providing additional liquidity to the financial system, and reactivating programs used during the global financial crisis (e.g., QE programs).

The global spread of COVID-19 may require the imposition of tougher and longer- lasting containment measures, which could result in more severe and prolonged downturns. This will expose financial vulnerabilities that have built in recent years in the environment of extremely low interest rates, leading to the exacerbation of the COVID-19 shock. Central banks will remain crucial to safeguarding the stability of global financial markets and maintaining the flow of credit to the economy. In a coordinated fashion, monetary, fiscal, and financial policies should aim to cushion the impact of the COVID-19 shock and to ensure a steady, sustainable recovery.

This Special Issue invites researchers to submit their work across all dimensions of the financial system to recommend ideas and solutions for the post-COVID-19 era.

Prof. Dr. Nicholas Apergis
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. International Journal of Financial Studies is an international peer-reviewed open access quarterly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • asset markets
  • equity markets
  • commodity markets
  • monetary policy
  • banking sector
  • bond markets
  • currency markets
  • derivatives markets
  • real estate markets
  • covered bonds

Published Papers (2 papers)

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Research

Article
Do Green Bonds Act as a Hedge or a Safe Haven against Economic Policy Uncertainty? Evidence from the USA and China
Int. J. Financial Stud. 2021, 9(3), 40; https://doi.org/10.3390/ijfs9030040 - 01 Aug 2021
Viewed by 220
Abstract
Economic policy uncertainty and particularly COVID-19 has stimulated the need to investigate alternative avenues for policy risk management. In this context, this study examines the dynamic association among economic policy uncertainty, green bonds, clean energy stocks, and global rare earth elements. A dynamic [...] Read more.
Economic policy uncertainty and particularly COVID-19 has stimulated the need to investigate alternative avenues for policy risk management. In this context, this study examines the dynamic association among economic policy uncertainty, green bonds, clean energy stocks, and global rare earth elements. A dynamic conditional correlation-multivariate generalized autoregressive conditional heteroscedasticity (DCC-MGARCH) model was used to gauge the time-varying co-movements among these indices. The analysis finds that green bonds act more as a hedge than a safe haven against economic policy uncertainty (EPU). In the case of diversification, green bonds work as diversifiers with clean energy stocks and rare earth elements during COVID-19 and in the whole sample period. Additionally, clean energy stocks and rare earth elements show safe haven properties against EPUs. This study contributes to the hedging and safe haven literature with some new insight considering the role of green bonds and clean energy stocks. Additionally, the outcomes of the research contribute toward the literature of portfolio diversification theory. These findings pave the way for not only US investors to hedge long-term economic policy risk by investing in green bonds, but also for China and the UK, as these financial assets (green bonds, clean energy stocks, and rare earth metals) and EPU are long-term financial and economic variables. Full article
(This article belongs to the Special Issue COVID-19 and the Stability of the Financial System)
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Article
Intraday Volatility Spillovers among European Financial Markets during COVID-19
Int. J. Financial Stud. 2021, 9(1), 5; https://doi.org/10.3390/ijfs9010005 - 05 Jan 2021
Cited by 5 | Viewed by 1612
Abstract
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December [...] Read more.
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The data consists of 10,990 intraday observations from 2 December 2019 to 29 May 2020. Using the methodology of Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that 77.80% of intraday volatility forecast error variance in twelve European markets comes from spillovers. Furthermore, the highest gross directional volatility spillovers are found in Sweden and the Netherlands, while the minimum spillovers to other stock markets are observed in the stock markets of Poland and Ireland. However, German and Dutch markets transmit the highest net directional volatility spillovers. Splitting the whole sample in pre- and post-pandemic declaration (11 March 2020) we find more stable spillovers in the latter. The findings reveal important information about European stock market interdependence during COVID-19, which will be beneficial to both policy-makers and practitioners. Full article
(This article belongs to the Special Issue COVID-19 and the Stability of the Financial System)
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