Financial Spillovers to Emerging Markets during the Global Financial Crisis.
Title:
Financial Spillovers to Emerging Markets during the Global Financial Crisis.
Author:
Frank, Nathaniel.
ISBN:
9781451916812
Personal Author:
Physical Description:
1 online resource (22 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Transmission of Spillovers to EM Countries During the Subprime Crisis: A Qualitative Overview -- III. Data -- IV. Methodology -- V. Results -- VI. Conclusion -- References -- Figures -- 1. U.S. and EM Financial Variables -- 2. U.S. and EM Financial Variables -- 3. Implied Correlations between U.S. and EM Financial Variables -- 4. Implied Correlations between U.S. and EM Financial Variables.
Abstract:
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible de-coupling (in the financial markets) had been misplaced. While EM stock markets reached their peak in the last quarter of 2007, interlinkages between funding stress and equity markets in advanced economies and EM financial indicators were highly correlated and have seen sharp increases during specific crisis moments.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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