Financial Spillovers to Emerging Markets during the Global Financial Crisis
Author/Editor: Heiko Hesse, Nathaniel Frank
Release Date: © May, 2009
ISBN: 978-1-45187-251-4
Stock #: WPIEA2009104
English
Stock Status: Available
Languages and formats available
| English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
| Paperback | Yes | ||||||
| Yes |
Description
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.
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Keywords
Emerging Markets, Subprime Crisis, Liquidity, Solvency, Garch, Banking Sector, Developed Countries, Developing Countries, Economic Models, Spillovers, Stock Markets
Taxonomy
Bond markets,
Capital markets,
Financial crisis,
Financial institutions and markets,
International financial system
More publications in this series: Working Papers
More publications by: Heiko Hesse ; Nathaniel Frank
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