Financial Spillovers to Emerging Markets during the Global Financial Crisis
Frank, Nathaniel; Hesse, Heiko
Year: 2009 Volume: 59 Issue: 6 Pages: 507-521
Abstract: Using data from the recent crisis, we analyze financial linkages between market liquidity and bank solvency measures in advanced economies and emerging market bond and stock markets. A multivariate generalized autoregressive conditional heteroskedasticity model is estimated to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible decoupling of financial markets had been misplaced. In fact, interlinkages between funding stress and equity markets in advanced economies and emerging market financial indicators were highly correlated, and have seen sharp increases during specific crisis moments.
JEL classification: C32, E44, G12
Keywords: emerging markets, subprime crisis, liquidity, solvency, GARCH
RePEc: http://ideas.repec.org/a/fau/fauart/v59y2009i6p507-521.html
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