Ji, QiangLiu, Bing-YueCunado, JuncalGupta, Rangan2018-10-172020-01Ji, Q., Liu, B.-Y., Cunado, J. & Gupta. R. 2020. 'Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data', The North American Journal of Economics and Finance, vol. 51, art. 100846, pp. 1-15.1062-9408 (print)1879-0860 (online)10.1016/j.najef.2018.09.004http://hdl.handle.net/2263/66921This paper analyses the risk spillover effect between the US stock market and the remaining G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying copula models with Markov switching and data that covers more than 100 years. The main results suggest that the dependence structure varies with time and has distinct high and low dependence regimes. Our findings verify the existence of risk spillover between the US stock market and the remaining G7 stock markets. Furthermore, the results imply the following: 1) abnormal spikes of dynamic CoVaR were induced by well-known historical economic shocks; 2) The value of upside risk spillover is significantly larger than the downside risk spillover and 3) The magnitudes of risk spillover from the remaining G7 countries to the US are significantly larger than that from the US to these countries.en© 2018 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 51, art. 100846, pp. 1-15 2020, doi : 10.1016/j.najef.2018.09.004.Conditional value-at-risk (CoVaR)Time-varying copulaMarkov switchingRisk spilloverG7 stock marketsPostprint Article