| Description |
1 online resource (32 pages) : illustrations (some color) |
| Series |
IMF working paper ; WP/09/23 |
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IMF working paper ; WP/09/23.
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| 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 |
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3. GIRFs: Rates of Growth of Real Equity Prices4. GIRFs: Rates of Growth of Real Credit to Corporations; 5. GIRFs: Rates of Growth of Real Gross Domestic Product; 6. GIRFs: Real Interbank Rates; 7. GIRFs: A One 3D Negative Shock to US Real Equity Prices Growth Rate; Tables; 1. Countries and Regions in the GVAR model; 2. Number of Cointegrating Relationships in the Country-Specific Models; 3. F-statistics for Testing the Weak Exogeneity; 4. Contemporaneous Effects of Foreign Variables; 5. Augmented Dickey-Fuller (ADF) Unit Root Test Statistics; 6. Weighted Symmetric ADF Unit Root Test Statistics |
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7. FinancialWeights8. Average Pair-Wise Cross-Section Correlations; 9. Cointegration Rank Statistics; 10. GFEVDs: A One 3D Negative Shock to US Real Equity Prices Growth Rate; 11. Country Names and ISO Codes; References |
| Summary |
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 |
| Bibliography |
Includes bibliographical references (pages 31-32) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
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English |
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Print version record |
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digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL |
| Subject |
Stocks -- Prices -- United States -- Econometric models
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Stocks -- Prices -- Europe -- Econometric models
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Bank loans -- United States -- Econometric models
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Bank loans -- Europe -- Econometric models
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Banks and banking -- Foreign ownership
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Bank loans -- Econometric models
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Banks and banking -- Foreign ownership
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Finanzmarkt.
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Spillover-Effekt.
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VAR-Modell.
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Europa.
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United States
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Europe
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| Form |
Electronic book
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| Author |
Sgherri, Silvia, author.
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International Monetary Fund. European Department.
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| ISBN |
1462372937 |
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9781462372935 |
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1452799520 |
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9781452799520 |
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9786612842450 |
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6612842458 |
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1282842455 |
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9781282842458 |
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1451871708 |
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9781451871708 |
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