earticle

영어

With data from 7 Asian countries, jump intensities are estimated using Hawkes univariate model. To analyze the transmission pattern of shocks, VAR model is applied to the time series of jump intensities. Results show that jump shocks are actively transmitted among Asian countries. Gravity model of trade is estimated with exchange rate volatility and transmission parameter included in the model. Regression result shows a significant positive relation between transmission parameter and trade. It implies that the trade and the financial shock transmission have reciprocal effects on both sides.