کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053358 1476512 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Global financial conditions and asset markets: Evidence from fragile emerging economies
ترجمه فارسی عنوان
شرایط مالی جهانی و بازار دارایی: شواهد از اقتصادهای در حال ظهور شکننده
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We study global financial effects on fragile emerging economy asset markets.
- Global financial risk shocks significantly affect the asset markets.
- The effects differ by country and asset class.
- The shocks have a larger immediate impact on bond yields and CDS spreads.
- Macroeconomic fundamentals drive the country differentiations.

This study examines the effects of global financial conditions on the asset markets of five fragile emerging economies-Brazil, India, Indonesia, South Africa, and Turkey-known as the Fragile Five. We estimate a structural vector autoregressive model with a block exogeneity procedure using high-frequency daily data and Bayesian inference. Our primary findings are as follows. (i) Global financial risk shocks have significant effects on government bond yields, equity prices, CDS spreads, and exchange rates in the Fragile Five. (ii) The effects differ considerably across the fragile countries and the assets. (iii) These country differentiations are strongly related to macroeconomic fundamentals. Finally, (iv) global financial risk shocks have a greater immediate effect on local currency government bond and CDS markets than on FX and stock markets.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 57, September 2016, Pages 208-220
نویسندگان
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