Financial Spillovers to Emerging Markets During the Global Financial Crisis

21 Pages Posted: 1 Jun 2009

See all articles by Heiko Hesse

Heiko Hesse

International Monetary Fund (IMF)

Nathaniel Frank

University of Oxford - Nuffield College

Date Written: May 2009

Abstract

In 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.

Keywords: Banking sector, Bond markets, Capital markets, Cross country analysis, Developed countries, Developing countries, Economic models, Emerging markets, Financial crisis, Liquidity, Spillovers, Stock markets

Suggested Citation

Hesse, Heiko and Frank, Nathaniel, Financial Spillovers to Emerging Markets During the Global Financial Crisis (May 2009). IMF Working Paper No. 09/104, Available at SSRN: https://ssrn.com/abstract=1408887

Heiko Hesse (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Nathaniel Frank

University of Oxford - Nuffield College ( email )

New Road
Oxford, OX1 1NF
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
725
Abstract Views
2,516
Rank
65,212
PlumX Metrics