Financial Markets in Times of Stress / Graciela L. Kaminsky, Carmen M. Reinhart.

Format:

Book

Author/Creator:

Kaminsky, Graciela L.

Contributor:

National Bureau of Economic Research.

Reinhart, Carmen M.

Series:

Working Paper Series (National Bureau of Economic Research) no. w8569.

NBER working paper series no. w8569

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2001.

Summary:

In this paper, we examine which markets are most synchronized internationally and exhibit the greater extent of comovement. We focus on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. Our sample covers thirty-five developed and emerging market countries during 1997-1999. The extent of comovement and responsiveness to external shocks is examined in different ways. To measure the response of these markets to adverse external shocks, we date the peaks in domestic interest rates and bond spreads and the largest daily declines in equity prices and assess the extent of clustering around the same period. We also analyze which markets show evidence of greatest comovement in general, irrespective of whether there are adverse shocks or not.

Notes:

Print version record

October 2001.