Regional Financial Spillovers Across Europe

The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The GVAR model contains 27 country-specific models, including the United States, 17 European advanced economies, and 9 European emerging economies. Each country model is linked to the others by a set of country-specific foreign variables, computed using bilateral bank lending exposures. Results reveal consi

MoreLess

Year of publication:	2009
Authors:	Sgherri, Silvia
Other Persons:	Galesi, Alessandro (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Spillover-Effekt \| Spillover effect \| EU-Staaten \| EU countries \| Europa \| Europe \| Finanzmarkt \| Financial market

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

Extent:	Online-Ressource (34 p)
Series:	IMF Working Papers IMF working paper ; WP/09/23
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; II. The GVAR Model (1999-2008); A. Structure of the model; B. The data and properties of the series; III. Estimation; A. Conditions for the GVAR estimation; B. Estimation of the country-specific models; C. Testing for weak exogeneity; D. Impact Elasticities; IV. Dynamic Analysis; A. Generalized Impulse Response Functions; B. Generalized Forecast Error Variance Decompositions; V. Concluding Remarks; Figures; 1. Increasing Reliance of Emerging Europe on Foreign Bank Funding; 2. Concentration of Emerging Europe Exposure toWestern Europe 3. GIRFs: Rates of Growth of Real Equity Prices4. GIRFs: Rates of Growth of Real Credit to Corporations; 5. GIRFs: Rates of Growth of Real Gross Domestic Product; 6. GIRFs: Real Interbank Rates; 7. GIRFs: A One ¾ Negative Shock to US Real Equity Prices Growth Rate; Tables; 1. Countries and Regions in the GVAR model; 2. Number of Cointegrating Relationships in the Country-Specific Models; 3. F-statistics for Testing theWeak Exogeneity; 4. Contemporaneous Effects of Foreign Variables; 5. Augmented Dickey-Fuller (ADF) Unit Root Test Statistics; 6. Weighted Symmetric ADF Unit Root Test Statistics 7. FinancialWeights8. Average Pair-Wise Cross-Section Correlations; 9. Cointegration Rank Statistics; 10. GFEVDs: A One ¾ Negative Shock to US Real Equity Prices Growth Rate; 11. Country Names and ISO Codes; References
ISBN:	978-1-4518-7170-8 ; 978-1-4519-1606-5 ; 978-1-4518-7170-8
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012677717