Financial Spillovers to Emerging Markets During the Global Financial Crisis

May 1, 2009

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Format: Chicago

Nathaniel Frank, and Heiko Hesse. Financial Spillovers to Emerging Markets During the Global Financial Crisis, (USA: International Monetary Fund, 2009) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Emerging and frontier financial markets, Financial crises, Financial markets, Financial services, Securities markets, Stock markets, Yield curve

Keywords: Africa, Asia and Pacific, CDS measure, EM country, EM economy, Emerging and frontier financial markets, Emerging market, Emerging market equity, Emerging Markets, Europe, GARCH, Global, High-yielding EM currency, Liquidity, Market, Market volatility, Securities markets, Solvency, Stock markets, Subprime crisis, WP, Yield curve

Publication Details

Pages:

20
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2009/104
Stock No:

WPIEA2009104
ISBN:

9781451872514
ISSN:

1018-5941

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