Regional Financial Spillovers Across Europe.

Regional Financial Spillovers Across Europe.

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...

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Bibliographic Details
Main Author: Sgherri, Silvia
Other Authors: Galesi, Alessandro
Format: eBook
Language:English
Published: Washington : International Monetary Fund, 2009.
Series:IMF Working Papers.
Subjects:
Capital movements > Econometric models.
Econometrics.
Capital movements > Econometric models
Econometrics
Online Access:Click for online access
Table of 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.
  • 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 theWeak Exogeneity; 4. Contemporaneous Effects of Foreign Variables; 5. Augmented Dickey-Fuller (ADF) Unit Root Test Statistics; 6. Weighted Symmetric ADF Unit Root Test Statistics.
  • 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.

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