Financial spillovers to emerging markets during the global financial crisis /

In this paper potential financial linkages between liquidity and bank solvency measures advanced economies and emerging market (EM) bond and stock markets are analyzed the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these financial variables...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Frank, Nathaniel (Autor), Hesse, Heiko (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Capital Markets Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington, D.C. : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/104.
Temas:
Banks and banking > Developing countries.
Financial crises > Developing countries.
Subprime mortgage loans > Developing countries.
Liquidity (Economics)
Liquidité (Économie politique)
Banks and banking
Financial crises
Subprime mortgage loans
Developing countries
Acceso en línea:Texto completo
Descripción
Sumario:In this paper potential financial linkages between liquidity and bank solvency measures advanced economies and emerging market (EM) bond and stock markets are analyzed 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 that the notion of possible de-coupling (in the financial markets) had been misplaced. 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 highly correlated and have seen sharp increases during specific crisis moments.
Notas:At head of title: Monetary and Capital Markets Department.
"May 2009."
Descripción Física:1 online resource (20 pages) : color illustrations
Bibliografía:Includes bibliographical references (pages 19-20).

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