LEADER 06595oam 22014894 450 001 9910788347703321 005 20230721045621.0 010 $a1-4623-7293-7 010 $a1-4527-9952-0 010 $a9786612842450 010 $a1-282-84245-5 010 $a1-4518-7170-8 035 $a(CKB)3170000000055194 035 $a(EBL)1608159 035 $a(SSID)ssj0000943047 035 $a(PQKBManifestationID)11558964 035 $a(PQKBTitleCode)TC0000943047 035 $a(PQKBWorkID)10974820 035 $a(PQKB)11231179 035 $a(OCoLC)465436123 035 $a(MiAaPQ)EBC1608159 035 $a(IMF)WPIEE2009023 035 $a(EXLCZ)993170000000055194 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRegional Financial Spillovers Across Europe : $eA Global VAR Analysis /$fSilvia Sgherri, Alessandro Galesi 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (34 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4519-1606-X 320 $aIncludes bibliographical references. 327 $aContents; 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 330 3 $aThe recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The GVAR model contains 27 country-specific models, including the United States, 17 European advanced economies, and 9 European emerging economies. Each country model is linked to the others by a set of country-specific foreign variables, computed using bilateral bank lending exposures. Results reveal considerable comovements of equity prices across mature financial markets. However, the effects on credit growth are found to be country-specific. Evidence indicates that asset prices are the main channel through which-in the short run-financial shocks are transmitted internationally, while the contribution of other variables-like the cost and quantity of credit-becomes more important over longer horizons. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/023 606 $aCapital movements$xEconometric models 606 $aEconometrics 606 $aBanks and Banking$2imf 606 $aEconometrics$2imf 606 $aInvestments: Stocks$2imf 606 $aMoney and Monetary Policy$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aState Space Models$2imf 606 $aGeneral Aggregative Models: Forecasting and Simulation$2imf 606 $aMacroeconomic Aspects of International Trade and Finance: Forecasting and Simulation$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aEconometrics & economic statistics$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aBanking$2imf 606 $aVector autoregression$2imf 606 $aStocks$2imf 606 $aInterbank rates$2imf 606 $aCredit$2imf 606 $aEconometric analysis$2imf 606 $aFinancial institutions$2imf 606 $aFinancial services$2imf 606 $aMoney$2imf 606 $aForeign banks$2imf 606 $aInterest rates$2imf 606 $aBanks and banking$2imf 606 $aBanks and banking, Foreign$2imf 607 $aUnited States$2imf 615 0$aCapital movements$xEconometric models. 615 0$aEconometrics. 615 7$aBanks and Banking 615 7$aEconometrics 615 7$aInvestments: Stocks 615 7$aMoney and Monetary Policy 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aState Space Models 615 7$aGeneral Aggregative Models: Forecasting and Simulation 615 7$aMacroeconomic Aspects of International Trade and Finance: Forecasting and Simulation 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aEconometrics & economic statistics 615 7$aInvestment & securities 615 7$aFinance 615 7$aMonetary economics 615 7$aBanking 615 7$aVector autoregression 615 7$aStocks 615 7$aInterbank rates 615 7$aCredit 615 7$aEconometric analysis 615 7$aFinancial institutions 615 7$aFinancial services 615 7$aMoney 615 7$aForeign banks 615 7$aInterest rates 615 7$aBanks and banking 615 7$aBanks and banking, Foreign 700 $aSgherri$b Silvia$01491226 701 $aGalesi$b Alessandro$01493523 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788347703321 996 $aRegional Financial Spillovers Across Europe$93716528 997 $aUNINA