Regional Financial Spillovers Across Europe.

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Sgherri, Silvia
Otros Autores: Galesi, Alessandro
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2009.
Colección:IMF Working Papers.
Temas:
Capital movements > Econometric models.
Econometrics.
Mouvements de capitaux > Modèles économétriques.
Économétrie.
Capital movements > Econometric models
Econometrics
Acceso en línea:Texto completo
Descripción
Sumario: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 consi.
Descripción Física:1 online resource (34 pages)
ISBN:9781451916065
145191606X

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