کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998168 1481538 2014 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
International transmission and business-cycle effects of financial stress
ترجمه فارسی عنوان
انتقال بین المللی و اثرات چرخه گردش مالی تنش آ
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
چکیده انگلیسی


• Co-movement of national financial stress indices has increased over time.
• Co-movement of national financial stress indices is higher during financial crises.
• Economically open countries are more vulnerable to foreign financial stress shocks.
• Financial stress is rapidly transmitted across countries.
• Financial stress shocks have significant global business-cycle effects.

We analyze the international transmission of financial stress and its effects on global economic activity. Our analysis is based on country-specific monthly financial stress indices (FSIs) over the sample period 1970–2012 for 20 major economies. First, we show that co-movement between the FSIs increases during major financial crises and towards the end of our sample period. Second, we show that the risk of large financial stress spillovers to an economy increases with its level of economic openness. Third, we show – using a global VAR (GVAR) model – that (i) a financial stress shock in the US quickly transmits internationally, (ii) financial stress shocks have lagged but persistent negative effects on economic activity, and (iii) that a negative US demand shock induces only limited financial stress on a global scale. Finally, we show that spillovers of financial stress run mainly from advanced to emerging economies and not in the opposite direction.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 13, August 2014, Pages 1–17
نویسندگان
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