| Description |
1 online resource (24 pages) : color illustrations |
| Series |
IMF working paper ; WP/14/187 |
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IMF working paper ; WP/14/187.
|
| Contents |
Cover; Contents; I. Introduction; II. Financial Market Spillovers: What's Involved; A. Concepts and Definitions of Financial Market Spillovers; B. Spillover Channels; III. Data; IV. Financial Market Spillovers: Stylized Facts and Possible Determinants; Tables; 1. Summary Statistics; 2. Equity Correlation in 2012 between Advanced Economies; Figures; 1. Average Bilateral Correlation; 2. Geographical Portfolio in Percent of GDP for Selected Advanced Economies; 3. Geographical Portfolio in Percent of GDP for Selected Emerging Economies |
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4. Equity Home Bias for Advanced Economies (average during 2001-2012)V. Empirical models and results; A. Model; 5. Equity Return Correlation for Advanced Economies (average during 2001-2012); B. Empirical Results; 3. Determinants of Equity Market Spillover; 4. Determinants of Bond Market Spillover; VI. Conclusion and Future Research; VII. References; Appendix; 1. Summary Statistics |
| Summary |
This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries' comovement of bond yields are large. Also, countries' geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).--Abstract |
| Notes |
"October 2014." |
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"Statistics Department." |
| Bibliography |
Includes bibliographical references (pages 22-23) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed October 22, 2014) |
| Subject |
Capital movements -- Econometric models
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Capital market -- Econometric models
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Investments -- Econometric models
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Securities -- Econometric models
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International trade.
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Financial risk management.
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Capital market -- Econometric models
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Capital movements -- Econometric models
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Financial risk management
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International trade
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Investments -- Econometric models
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Securities -- Econometric models
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| Form |
Electronic book
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| Author |
International Monetary Fund. Statistics Department, issuing body.
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| ISBN |
9781484351307 |
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1484351304 |
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