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

• Autore: Galesi Alessandro
• Pubblicazione: [Washington D.C.], : International Monetary Fund, 2009
• Descrizione fisica: 1 online resource (34 p.)
• Soggetto topico: Capital movements - Econometric models; Econometrics
• Soggetto genere / forma: Electronic books.
• 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 consi
• 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.: 9910464062203321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/23.