06595oam 22014894 450 991078834770332120230721045621.01-4623-7293-71-4527-9952-097866128424501-282-84245-51-4518-7170-8(CKB)3170000000055194(EBL)1608159(SSID)ssj0000943047(PQKBManifestationID)11558964(PQKBTitleCode)TC0000943047(PQKBWorkID)10974820(PQKB)11231179(OCoLC)465436123(MiAaPQ)EBC1608159(IMF)WPIEE2009023(EXLCZ)99317000000005519420020129d2009 uf 0engur|n|---|||||txtccrRegional Financial Spillovers Across Europe : A Global VAR Analysis /Silvia Sgherri, Alessandro GalesiWashington, D.C. :International Monetary Fund,2009.1 online resource (34 p.)IMF Working PapersDescription based upon print version of record.1-4519-1606-X Includes bibliographical references.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 EuropeThe 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.IMF Working Papers; Working Paper ;No. 2009/023Capital movementsEconometric modelsEconometricsBanks and BankingimfEconometricsimfInvestments: StocksimfMoney and Monetary PolicyimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfState Space ModelsimfGeneral Aggregative Models: Forecasting and SimulationimfMacroeconomic Aspects of International Trade and Finance: Forecasting and SimulationimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfInterest Rates: Determination, Term Structure, and EffectsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfEconometrics & economic statisticsimfInvestment & securitiesimfFinanceimfMonetary economicsimfBankingimfVector autoregressionimfStocksimfInterbank ratesimfCreditimfEconometric analysisimfFinancial institutionsimfFinancial servicesimfMoneyimfForeign banksimfInterest ratesimfBanks and bankingimfBanks and banking, ForeignimfUnited StatesimfCapital movementsEconometric models.Econometrics.Banks and BankingEconometricsInvestments: StocksMoney and Monetary PolicyTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesState Space ModelsGeneral Aggregative Models: Forecasting and SimulationMacroeconomic Aspects of International Trade and Finance: Forecasting and SimulationPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsInterest Rates: Determination, Term Structure, and EffectsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralBanksDepository InstitutionsMicro Finance InstitutionsMortgagesEconometrics & economic statisticsInvestment & securitiesFinanceMonetary economicsBankingVector autoregressionStocksInterbank ratesCreditEconometric analysisFinancial institutionsFinancial servicesMoneyForeign banksInterest ratesBanks and bankingBanks and banking, ForeignSgherri Silvia1491226Galesi Alessandro1493523DcWaIMFBOOK9910788347703321Regional Financial Spillovers Across Europe3716528UNINA