Financial stress in emerging markets: Patterns, real effects, and cross-country spillovers

Review of Development Finance - Tập 6 - Trang 71-81 - 2016
Mikhail Stolbov1, Maria Shchepeleva2
1Department of Applied Economics, Moscow State Institute of International Relations (MGIMO – University), Russia
2Bank of Russia, Department of Monetary Policy, Russia

Tài liệu tham khảo

Apostolou, 2016 Balakrishnan, 2011, The transmission of financial stress from advanced to emerging economies, Emerg. Mark. Financ. Trade, 47, 40, 10.2753/REE1540-496X4703S203 Bhattarai, 2015 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, J. Econom., 31, 307, 10.1016/0304-4076(86)90063-1 Bouraoui, 2015, The effect of reducing quantitative easing on emerging markets, Appl. Econ., 47, 1562, 10.1080/00036846.2014.1000524 Bowman, 2016, US unconventional policy and transmission to emerging market economies, J. Int. Money Financ. Cardarelli, 2011, Financial stress and economic contractions, J. Financ. Stab., 7, 78, 10.1016/j.jfs.2010.01.005 Cesa-Bianchi, 2015, Global liquidity, house prices, and the macroeconomy: evidence from advanced and emerging economies, J. Money Credit Bank., 47, 301, 10.1111/jmcb.12204 Cevik, 2013, Measuring financial stress in Turkey, J. Policy Model., 35, 370, 10.1016/j.jpolmod.2012.06.003 Cevik, 2016, Financial stress and economic activity in some emerging Asian economies, Res. Int. Bus. Financ., 36, 127, 10.1016/j.ribaf.2015.09.017 Cevik, 2013, Measuring financial stress in transition economies, J. Financ. Stab., 9, 597, 10.1016/j.jfs.2012.10.001 Cevik, 2016, Global liquidity and financial stress: evidence from major emerging economies, Emerg. Mark. Financ. Trade, 10.1080/1540496X.2016.1140456 Diebold, 2012, Better to give than to receive: Predictive directional measure of volatility spillovers, Int. J. Forecast., vol. 28, 57, 10.1016/j.ijforecast.2011.02.006 Hansen, 2005, A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, J. Appl. Econom., 20, 873, 10.1002/jae.800 Hartmann, 2015, Real estate markets and macroprudential policy in Europe, J. Money Credit Bank., 47, 69, 10.1111/jmcb.12192 Kinda, 2016 Laeven, 2013, Systemic banking crises database, IMF Econ. Rev., 61, 225, 10.1057/imfer.2013.12 Litterman, 1986, Forecasting with Bayesian vector autoregressions – five years of experience, J. Bus. Econ. Stat., 4, 25 Morales, 2010, A financial stability index for Colombia, Ann. Financ., 6, 555, 10.1007/s10436-010-0161-7 Nazlioglu, 2015, Oil prices and financial stress: a volatility spillover analysis, Energy Policy, 82, 278, 10.1016/j.enpol.2015.01.003 Park, 2014, Determinants of financial stress in emerging market economies, J. Bank. Financ., 45, 199, 10.1016/j.jbankfin.2013.09.018 Rodríguez-Moreno, 2013, Systemic risk measures: the simpler the better?, J. Bank. Financ., 37, 1817, 10.1016/j.jbankfin.2012.07.010 Sharma Vipul, 2015, Forecasting stock index volatility with GARCH models: international evidence, Stud. Econ. Financ., 32, 445, 10.1108/SEF-11-2014-0212 Stolbov, 2014, How are interbank and sovereign debt markets linked? Evidence from 14 OECD countries, the Euro Area, and Russia, Panoeconomicus, 61, 331, 10.2298/PAN1403331S Tillman, 2016, Unconventional monetary policy and the spillovers to emerging markets, J. Int. Money Financ., 10.1016/j.jimonfin.2015.12.010 Tintchev, 2013 Toda, 1995, Statistical inference in vector autoregressions with possibly integrated processes, J. Econom., 66, 225, 10.1016/0304-4076(94)01616-8 Vermeulen, 2015, Financial stress indices and financial crises, Open Econ. Rev., 26, 383, 10.1007/s11079-015-9348-x Yuan, 2015, Fiscal austerity, growth prospects, and sovereign CDS spreads: the Eurozone and beyond, Int. Econ., 141, 50, 10.1016/j.inteco.2014.12.001