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Record Nr. |
UNINA9910788347703321 |
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Autore |
Sgherri Silvia |
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Titolo |
Regional Financial Spillovers Across Europe : : A Global VAR Analysis / / Silvia Sgherri, Alessandro Galesi |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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1-4623-7293-7 |
1-4527-9952-0 |
9786612842450 |
1-282-84245-5 |
1-4518-7170-8 |
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Descrizione fisica |
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1 online resource (34 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Capital movements - Econometric models |
Econometrics |
Banks and Banking |
Investments: Stocks |
Money and Monetary Policy |
Time-Series Models |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Diffusion Processes |
State Space Models |
General Aggregative Models: Forecasting and Simulation |
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Interest Rates: Determination, Term Structure, and Effects |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Econometrics & economic statistics |
Investment & securities |
Finance |
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Monetary economics |
Banking |
Vector autoregression |
Stocks |
Interbank rates |
Credit |
Econometric analysis |
Financial institutions |
Financial services |
Money |
Foreign banks |
Interest rates |
Banks and banking |
Banks and banking, Foreign |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 considerable comovements of equity prices across mature financial markets. However, the effects on credit growth are found to be country-specific. Evidence indicates that asset prices are the main channel through which-in the short run-financial shocks are transmitted internationally, while the contribution of other variables-like the cost and quantity of credit-becomes more important over longer horizons. |
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