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Regional Financial Spillovers Across Europe : A Global VAR Analysis / Silvia Sgherri, Alessandro Galesi.
- Format:
- Book
- Government document
- Author/Creator:
- Sgherri, Silvia.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/023
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Capital movements--Econometric models.
- Capital movements.
- Econometrics.
- Physical Description:
- 1 online resource (34 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- Summary:
- The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The GVAR model contains 27 country-specific models, including the United States, 17 European advanced economies, and 9 European emerging economies. Each country model is linked to the others by a set of country-specific foreign variables, computed using bilateral bank lending exposures. Results reveal considerable comovements of equity prices across mature financial markets. However, the effects on credit growth are found to be country-specific. Evidence indicates that asset prices are the main channel through which-in the short run-financial shocks are transmitted internationally, while the contribution of other variables-like the cost and quantity of credit-becomes more important over longer horizons.
- Contents:
- Contents; I. Introduction; II. The GVAR Model (1999-2008); A. Structure of the model; B. The data and properties of the series; III. Estimation; A. Conditions for the GVAR estimation; B. Estimation of the country-specific models; C. Testing for weak exogeneity; D. Impact Elasticities; IV. Dynamic Analysis; A. Generalized Impulse Response Functions; B. Generalized Forecast Error Variance Decompositions; V. Concluding Remarks; Figures; 1. Increasing Reliance of Emerging Europe on Foreign Bank Funding; 2. Concentration of Emerging Europe Exposure toWestern Europe
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9786612842450
- 9781462372935
- 1462372937
- 9781452799520
- 1452799520
- 9781282842458
- 1282842455
- 9781451871708
- 1451871708
- OCLC:
- 465436123
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