Regional financial spillovers across Europe : a global VAR analysis / / prepared by Alessandro Galesi and Silvia Sgherri

• Autore: Galesi Alessandro
• Pubblicazione: [Washington D.C.], : International Monetary Fund, 2009
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (34 p.)
• Disciplina: 332.6322
• Soggetto topico: Capital movements - Econometric models; Econometrics
• Altri autori: SgherriSilvia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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
• Sommario/riassunto: 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.
• Titolo autorizzato: Regional Financial Spillovers Across Europe
• ISBN: 1-4623-7293-7; 1-4527-9952-0; 9786612842450; 1-282-84245-5; 1-4518-7170-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910816923503321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/23.