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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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Frank, Nathaniel (Author), Hesse, Heiko (Author)
Corporate Author: International Monetary Fund. Monetary and Capital Markets Department
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : International Monetary Fund, ©2009.
Series:IMF working paper ; WP/09/104.
Subjects:
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
Online Access:Texto completo
Table of Contents:
  • I. Introduction; II. Transmission of Spillovers to EM Countries During the Subprime Crisis: A Qualitative Overview; III. Data; Figures; 1. U.S. and EM Financial Variables; 2. U.S. and EM Financial Variables; IV. Methodology; V. Results; 3. Implied Correlations between U.S. and EM Financial Variables; 4. Implied Correlations between U.S. and EM Financial Variables; VI. Conclusion; References

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