Financial Spillovers to Emerging Markets During the Global Financial Crisis
May 1, 2009
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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
Pages:
20
Volume:
2009
DOI:
Issue:
104
Series:
Working Paper No. 2009/104
Stock No:
WPIEA2009104
ISBN:
9781451872514
ISSN:
1018-5941
