Title Did the euro crisis affect non-financial firm stock prices through a financial or trade channel? / Stijn Claessens, Hui Tong, and Igor Zuccardi

Published [Washington, D.C.] : International Monetary Fund, ©2011

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Description 1 online resource (41 pages) Series IMF working paper, 1018-5941 ; WP/11/227 IMF working paper ; WP/11/227. Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. CDS Spreads for Sovereign Government and Banks, Stock Price Index (May 10, 2010); 2. CDS Spreads for Sovereign Government and Banks, Stock Price Index (June 8-10, 2011); 3. CDS Spreads for Sovereign Government and Banks, Stock Price Index (July 19-21, 2011); II. The Framework; A. Basic Specification; B. Key Data; 1. Number of Listed Firms; 2. Summary Statistics; 4. Trade Exposure; 5. Bank Exposure; C. Key Hypotheses; D. Basic Statistics; III. Empirical Results 3. Event Analysis, Financial and Trade Channels (May 10, 2010): General Sample4. Event Analysis, Financial and Trade Channels (May 10, 2010): EU Sample; 5. Event Analysis, Financial and Trade Channels (June 8-10, 2011): General Sample; 6. Event Analysis, Financial and Trade Channels (June 8-10, 2011): EU Sample; 7. Event Analysis, Financial and Trade Channels (June 19-21, 2011): General Sample; 8. Event Analysis, Financial and Trade Channels (June 19-21, 2011): EU Sample; IV. Robustness Checks; A. Abnormal Returns; 9. Event Analysis, Financial and Trade Channels: Abnormal Returns B. Weighted Regression10. Event Analysis, Financial and Trade Channels: Weighted Regression; C. Financial and Trade Exposure to Greece, Ireland and Portugal; 11. Exposure to GIP (Financial and Trade): General Sample; 12. Exposure to GIP (Financial and Trade): Euro Sample; V. Conclusions; References; Footnotes Summary This paper analyzes through what channels the euro crisis has affected firm valuations globally. It examines stock price responses over the past year for 3045 non-financial firms in 16 countries to three key crisis events. Using pre-crisis benchmarks, it separates effects arising from changes in external financing and trade conditions and examines how bank and trade linkages propagated effects across borders. It finds that policy measures announced impacted financially-constrained firms more, particularly in creditor countries with greater bank exposure to peripheral euro countries. Trade linkages with peripheral countries also played a role, with euro exchange rate movements causing differential effects Notes At head of title: Research Department Title from PDF title page (IMF Web site, viewed October 7, 2011) "September 2011." Bibliography Includes bibliographical references Notes English Subject Stocks -- Prices -- European Union countries Capital market -- European Union countries Financial crises -- European Union countries Capital market Financial crises Stocks -- Prices European Union countries Form Electronic book Author Tong, Hui, author. Zuccardi Huertas, Igor Esteban, author. International Monetary Fund. Research Department, issuing body. ISBN 1283551748 9781283551748 9781463916626 1463916620 1463977638 9781463977634 1463904959 9781463904951 1463948778 9781463948771 9786613864192 6613864196

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