Financial Spillovers to Emerging Markets During the Global Financial Crisis / Nathaniel Frank, Heiko Hesse.

Format:

Book

Government document

Author/Creator:

Frank, Nathaniel.

Contributor:

Hesse, Heiko.

Series:

IMF Working Papers; Working Paper ; No. 2009/104

IMF Working Papers

Language:

English

Subjects (All):

Financial crises.

Global Financial Crisis, 2008-2009.

Physical Description:

1 online resource (22 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2009.

Language Note:

English

Summary:

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.

Contents:

Contents; I. Introduction; II. Transmission of Spillovers to EM Countries During the Subprime Crisis: A Qualitative Overview; III. Data; Figures; 1. U.S. and EM Financial Variables; 2. U.S. and EM Financial Variables; IV. Methodology; V. Results; 3. Implied Correlations between U.S. and EM Financial Variables; 4. Implied Correlations between U.S. and EM Financial Variables; VI. Conclusion; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9786612843198

9781462313396

1462313396

9781452799513

1452799512

9781282843196

1282843192

9781451872514

1451872518

OCLC:

467293407