06839oam 22015974 450 991096582360332120250426110032.0978661284245097814623729351462372937978145279952014527995209781282842458128284245597814518717081451871708(CKB)3170000000055194(EBL)1608159(SSID)ssj0000943047(PQKBManifestationID)11558964(PQKBTitleCode)TC0000943047(PQKBWorkID)10974820(PQKB)11231179(OCoLC)465436123(IMF)WPIEE2009023(MiAaPQ)EBC1608159(IMF)WPIEA2009023WPIEA2009023(EXLCZ)99317000000005519420020129d2009 uf 0engur|n|---|||||txtccrRegional Financial Spillovers Across Europe : A Global VAR Analysis /Silvia Sgherri, Alessandro Galesi1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (34 p.)IMF Working PapersDescription based upon print version of record.9781451916065 145191606X 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 modelsEconometricsBankingimfBanks and BankingimfBanks and bankingimfBanks and banking, ForeignimfBanksimfCreditimfDepository InstitutionsimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometric analysisimfEconometrics & economic statisticsimfEconometricsimfFinanceimfFinancial institutionsimfFinancial InstrumentsimfFinancial servicesimfForeign banksimfGeneral Aggregative Models: Forecasting and SimulationimfInstitutional InvestorsimfInterbank ratesimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfInvestment & securitiesimfInvestments: StocksimfMacroeconomic Aspects of International Trade and Finance: Forecasting and SimulationimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfNon-bank Financial InstitutionsimfPension FundsimfState Space ModelsimfStocksimfTime-Series ModelsimfVector autoregressionimfUnited StatesimfCapital movementsEconometric models.Econometrics.BankingBanks and BankingBanks and bankingBanks and banking, ForeignBanksCreditDepository InstitutionsDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometric analysisEconometrics & economic statisticsEconometricsFinanceFinancial institutionsFinancial InstrumentsFinancial servicesForeign banksGeneral Aggregative Models: Forecasting and SimulationInstitutional InvestorsInterbank ratesInterest ratesInterest Rates: Determination, Term Structure, and EffectsInvestment & securitiesInvestments: StocksMacroeconomic Aspects of International Trade and Finance: Forecasting and SimulationMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesNon-bank Financial InstitutionsPension FundsState Space ModelsStocksTime-Series ModelsVector autoregression332.6322Sgherri Silvia1815869Galesi Alessandro1816114DcWaIMFBOOK9910965823603321Regional Financial Spillovers Across Europe4371785UNINA