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Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel? / Stijn Claessens, Hui Tong, Igor Zuccardi Huertas.
- Format:
- Book
- Government document
- Author/Creator:
- Claessens, Stijn.
- International Monetary Fund, Corporate Author.
- Series:
- IMF Working Papers; Working Paper ; No. 2011/227
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Capital market--European Union countries.
- Capital market.
- Financial crises--European Union countries.
- Financial crises.
- Physical Description:
- 1 online resource (58 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2011.
- Language Note:
- English
- Summary:
- This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis events. Using pre-crisis benchmarks, it separates effects arising from changes in external financing and trade conditions and examines how bank and trade linkages propagated effects across borders. It finds that policy measures announced impacted financially-constrained firms more, particularly in creditor countries with greater bank exposure to peripheral euro countries. Trade linkages with peripheral countries also played a role, with euro exchange rate movements causing differential effects.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. CDS Spreads for Sovereign Government and Banks, Stock Price Index (May 10, 2010); 2. CDS Spreads for Sovereign Government and Banks, Stock Price Index (June 8-10, 2011); 3. CDS Spreads for Sovereign Government and Banks, Stock Price Index (July 19-21, 2011); II. The Framework; A. Basic Specification; B. Key Data; 1. Number of Listed Firms; 2. Summary Statistics; 4. Trade Exposure; 5. Bank Exposure; C. Key Hypotheses; D. Basic Statistics; III. Empirical Results
- 3. Event Analysis, Financial and Trade Channels (May 10, 2010): General Sample4. Event Analysis, Financial and Trade Channels (May 10, 2010): EU Sample; 5. Event Analysis, Financial and Trade Channels (June 8-10, 2011): General Sample; 6. Event Analysis, Financial and Trade Channels (June 8-10, 2011): EU Sample; 7. Event Analysis, Financial and Trade Channels (June 19-21, 2011): General Sample; 8. Event Analysis, Financial and Trade Channels (June 19-21, 2011): EU Sample; IV. Robustness Checks; A. Abnormal Returns; 9. Event Analysis, Financial and Trade Channels: Abnormal Returns
- B. Weighted Regression10. Event Analysis, Financial and Trade Channels: Weighted Regression; C. Financial and Trade Exposure to Greece, Ireland and Portugal; 11. Exposure to GIP (Financial and Trade): General Sample; 12. Exposure to GIP (Financial and Trade): Euro Sample; V. Conclusions; References; Footnotes
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF title page (ebrary, viewed September 25, 2014).
- ISBN:
- 9786613864192
- 9781463948771
- 1463948778
- 9781463916626
- 1463916620
- 9781283551748
- 1283551748
- 9781463977634
- 1463977638
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