Skip navigation

The transmission of emerging market shocks to global equity markets

Thumbnail
View
642,28 kB
Authors
Issue Date
2007
Physical description
36 p. : gráf., tab.
Abstract
The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in "good" times as in "bad" times, i.e. during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries’ equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets
Publish on
Documentos de trabajo / Banco de España, 0727
Subjects
Appears in Collections:


loading