The Evolution of Asian Financial Linkages: Key Determinants and the Role of Policy
IMF Working Papers, November 1, 2012
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Bibliographic details
- Authors: Selim A Elekdag, Phurichai Rungcharoenkitkul, Yiqun Wu
- Published: November 1, 2012
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475588682.001
Overview and Approach
- Authors: Selim A Elekdag, Phurichai Rungcharoenkitkul, Yiqun Wu
- Date: November 1, 2012
- Methodology: development of a factor model to estimate Asian financial sensitivities to systemic economies and to uncover key determinants, including trade and financial linkages, and policies.
Key Findings
- Asian financial markets have become more sensitive to systemic economies in line with Asia’s growing role in the global economy and deeper financial integration.
- Asian financial sensitivities to systemic economies exhibit cyclical fluctuations.
- Sensitivities reached historically high levels during the latest global financial crisis of 2008–09.
- Macroeconomic policy frameworks have helped Asian economies cope well with market turbulence, but they cannot completely insulate Asian financial markets against major global financial shocks.
Determinants Identified
- Trade linkages.
- Financial linkages.
- Policy settings (macroeconomic policy frameworks).
Subject Areas and Keywords
- Subject: Balance of payments, Banking, Exchange rate arrangements, Financial institutions, Financial markets, Foreign direct investment, Foreign exchange, National accounts, Return on investment, Stock markets, Stocks
- Keywords: Asia, Asia and Pacific, beta, economy c, Exchange rate arrangements, financial linkages, financial market spillover, Foreign direct investment, GDP ×, Global, global financial crisis, market portfolio return, Return on investment, risk premium, Stock markets, Stocks, systemic economy, WP