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Author | : Mr.Paul Cashin |
Publisher | : International Monetary Fund |
Total Pages | : 58 |
Release | : 1995-11-01 |
Genre | : Business & Economics |
ISBN | : 1451853289 |
Download International Integration of Equity Markets and Contagion Effects Book in PDF, ePub and Kindle
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country “contagion” effects. The paper’s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Author | : Paul Anthony Cashin |
Publisher | : |
Total Pages | : 58 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download International Integration of Equity Markets and Contagion Effects Book in PDF, ePub and Kindle
This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move similarly across countries and regions in the long run; and second, the strength of cross-country quot;contagionquot; effects. The paper`s findings suggest that both intra-regional and inter-regional linkages across national equity markets have strengthened in recent years. In addition, using impulse response functions, the paper shows that cross-country contagion effects of country-specific shocks dissipate in a matter of weeks while contagion effects of global shocks take several months to unwind themselves.
Author | : John McDermott |
Publisher | : |
Total Pages | : 0 |
Release | : 1995 |
Genre | : |
ISBN | : |
Download International integration of equity markets and contagion effects Book in PDF, ePub and Kindle
Author | : Mardi Dungey |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Equity Market Contagion During the Global Financial Crisis Book in PDF, ePub and Kindle
The global financial crisis (2007-2009) saw sharp declines in stock markets around the world, affecting both advanced and emerging markets. In this paper we test for the existence of equity market contagion originating from the US to advanced and emerging markets during the crisis period. Using a latent factor model, we provide strong evidence of contagion effects in both advanced and emerging equity markets. In the aggregate equity market indices, contagion from the US explains a large portion of the variance in stock returns in both advanced and emerging markets. However, in the financial sector indices we find less evidence of contagion than in the aggregate indices, and this is particularly the case for the advanced markets. The results suggest that contagion effects are not strongly related to high levels of global integration.
Author | : Mr.Gian Milesi-Ferretti |
Publisher | : International Monetary Fund |
Total Pages | : 46 |
Release | : 2003-04-01 |
Genre | : Business & Economics |
ISBN | : 1451850905 |
Download International Financial Integration Book in PDF, ePub and Kindle
In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover, the portfolio equity and FDI categories have grown in importance relative to international debt stocks. This paper describes the broad trends in international financial integration for a sample of industrial countries and seeks to explain the cross-country and time-series variation in the size of international balance sheets. It also examines the behavior of the rates of return on foreign assets and liabilities, relating them to "market" returns.
Author | : Mr.Joshua Aizenman |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 1997-10-01 |
Genre | : Business & Economics |
ISBN | : 145193596X |
Download Contagion and Volatility with Imperfect Credit Markets Book in PDF, ePub and Kindle
This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both domestic and foreign financial spreads and the producers’ cost of capital, resulting in lower employment and higher incidence of default. Welfare effects are nonlinearly related to the degree of international financial integration.
Author | : Michael B. Devereux |
Publisher | : |
Total Pages | : 68 |
Release | : 2014 |
Genre | : Financial crises |
ISBN | : |
Download International Financial Integration and Crisis Contagion Book in PDF, ePub and Kindle
International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints. Collateral constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. The analysis allows for different degrees of financial integration, moving from financial autarky to bond market integration and equity market integration. Fi- nancial integration leads to a significant increase in global leverage, doubles the probability of balance sheet crises for any one country, and dramatically increases the degree of 'contagion' across countries. Outside of crises, the impact of financial integration on macro aggregates is relatively small. But the impact of a crisis with integrated international financial markets is much less severe than that under financial market autarky. Thus, a trade-off emerges between the probability of crises and the severity of crises. Financial integration can raise or lower welfare, depending on the scale of macroeconomic risk. In particular, in a low risk environment, the increased leverage resulting from financial integration can reduce welfare of investors.
Author | : Stephane Goutte |
Publisher | : World Scientific |
Total Pages | : 355 |
Release | : 2020-04-28 |
Genre | : Business & Economics |
ISBN | : 981121025X |
Download Risk Factors And Contagion In Commodity Markets And Stocks Markets Book in PDF, ePub and Kindle
The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author | : Chee Wooi Hooy |
Publisher | : |
Total Pages | : 132 |
Release | : 2010 |
Genre | : International economic integration |
ISBN | : |
Download Stock Market Integration and the Pricing for Regionalism Book in PDF, ePub and Kindle
Author | : Martin Feldstein |
Publisher | : University of Chicago Press |
Total Pages | : 500 |
Release | : 2007-12-01 |
Genre | : Business & Economics |
ISBN | : 0226241807 |
Download International Capital Flows Book in PDF, ePub and Kindle
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.