Cover IMF Working Papers
Financial Spillovers to Emerging Markets During the Global Financial Crisis
Author: Nathaniel Frank and Mr. Heiko Hesse
Series:
IMF Working Papers
Volume/Issue:
Volume 2009: Issue 104
Language:
English
Publication Date:
01 May 2009
DOI:
https://doi.org/10.5089/9781451872514.001
ISBN:
9781451872514
ISSN:
1018-5941
Pages:
20
Keywords:
WP; emerging market; market; subprime crisis; EM country; Emerging Markets; Liquidity; Solvency; GARCH; market volatility; CDS measure; EM economy; high-yielding EM currency; emerging market equity; Stock markets; Emerging and frontier financial markets; Securities markets; Yield curve; Global; Europe; Africa; Asia and Pacific
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund