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Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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Discussion Paperdp
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Year
2025
2024
2023
2022
...
28 November 2022
20221669593600000
No. 192

Does the US Contagion Risk Affect Foreign Direct Investment Inflows in Emerging Economies?

Abstract

Contagion has been one of the most widely studied and challenging problems in recent economic research. This study aims to measure the lower-tail dependence of risk contagion between the US economy and emerging countries. Four time-varying copulas, namely Student-t, Clayton, rotated survival Gumbel, and rotated survival Joe are considered to quantify the tail dependence. Overall, the results show the contagion effects of the US economy on 18 emerging economies. The size of contagion effects gradually increases for all countries, except Thailand, the Philippines, Argentina, and Chile. Furthermore, the Granger causality test and regression analysis reveal a temporal and contemporaneous effects of contagion risk on FDI inflows in 8 out of the 18 countries.

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JEL: B23C01F21
Tags: contagion riskemerging economiesforeign direct investmentcopulatail dependence
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Woraphon Yamaka
Woraphon Yamaka
Chiang Mai University
Paravee Maneejuk
Paravee Maneejuk
Chiang Mai University

Puey Ungphakorn Institute for Economic Research

273 Samsen Rd, Phra Nakhon, Bangkok 10200

Phone: 0-2283-6066

Email: pier@bot.or.th

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