05117oam 22012014 450 991082597580332120240402051219.01-4623-1339-61-4527-9951-21-282-84319-21-4518-7251-89786612843198(CKB)3170000000055262(EBL)1608288(SSID)ssj0000940813(PQKBManifestationID)11588679(PQKBTitleCode)TC0000940813(PQKBWorkID)10963535(PQKB)10957412(OCoLC)467293407(MiAaPQ)EBC1608288(IMF)WPIEE2009104(EXLCZ)99317000000005526220020129d2009 uf 0engur|n|---|||||txtccrFinancial Spillovers to Emerging Markets During the Global Financial Crisis /Nathaniel Frank, Heiko Hesse1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.1-4519-1681-7 Includes bibliographical references.Contents; I. Introduction; II. Transmission of Spillovers to EM Countries During the Subprime Crisis: A Qualitative Overview; III. Data; Figures; 1. U.S. and EM Financial Variables; 2. U.S. and EM Financial Variables; IV. Methodology; V. Results; 3. Implied Correlations between U.S. and EM Financial Variables; 4. Implied Correlations between U.S. and EM Financial Variables; VI. Conclusion; ReferencesIn 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.IMF Working Papers; Working Paper ;No. 2009/104Financial crisesGlobal Financial Crisis, 2008-2009Banks and BankingimfFinance: GeneralimfFinancial Risk ManagementimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfState Space ModelsimfFinancial Markets and the MacroeconomyimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancial CrisesimfInterest Rates: Determination, Term Structure, and EffectsimfFinanceimfEconomic & financial crises & disastersimfStock marketsimfFinancial crisesimfEmerging and frontier financial marketsimfSecurities marketsimfYield curveimfFinancial marketsimfFinancial servicesimfStock exchangesimfFinancial services industryimfCapital marketimfInterest ratesimfUnited StatesimfFinancial crises.Global Financial Crisis, 2008-2009.Banks and BankingFinance: GeneralFinancial Risk ManagementTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesState Space ModelsFinancial Markets and the MacroeconomyGeneral Financial Markets: General (includes Measurement and Data)Financial CrisesInterest Rates: Determination, Term Structure, and EffectsFinanceEconomic & financial crises & disastersStock marketsFinancial crisesEmerging and frontier financial marketsSecurities marketsYield curveFinancial marketsFinancial servicesStock exchangesFinancial services industryCapital marketInterest rates332.152Frank Nathaniel821Hesse Heiko1600314DcWaIMFBOOK9910825975803321Financial Spillovers to Emerging Markets During the Global Financial Crisis3978589UNINA