Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963425 | Journal of International Financial Markets, Institutions and Money | 2015 | 19 Pages |
Abstract
As emerging market countries are more deeply integrated with the global economy, it is more likely that financial shocks in those countries can spill over into advanced economies, which we call “reverse spillover”. We examine whether emerging market financial turmoil in 2013-2014, caused mainly by the expectation of future US monetary policy tightening, created such spillover. Panel fixed-effects regression suggests that emerging market financial instability reduces portfolio fund flows to advanced economies and increases their sovereign CDS premia. In addition, Granger causality network analysis indicates that the influence of emerging market economies in the global financial network significantly increased during the period of interest.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hyunju Kang, Hyunduk Suh,