Park, Cyn-Young and Mercado, Rogelio (2014) Determinants of financial stress in emerging market economies. Journal of Banking and Finance, 45. pp. 199-224. ISSN 0378-4266
Full text not available from this repository. (Request a copy)Abstract
The global financial crisis of 2008–2009 illustrates how financial turmoil in advanced economies could trigger severe financial stress in emerging markets. Previous studies dealing with financial crises and contagion show the linkages through which financial stress are transmitted from advanced to emerging markets. This paper extends the existing literature on the use of financial stress index (FSI) in understanding the channels of financial transmission in emerging market economies. Using FSI of 25 emerging markets, our panel regression estimates show that not only advanced economies FSI, but also regional and nonregional emerging market FSIs significantly increase domestic financial stress. Our findings also suggest that there is a common regional factor significantly affecting domestic FSI in emerging Asia and emerging Europe. Furthermore, the results from a structural vector autoregression model with contemporaneous restrictions indicate that although a domestic financial shock still accounts for most of the variation in domestic FSI, regional shocks play an important role in emerging Asia.
Item Type: | Article |
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Uncontrolled Keywords: | Financial stress index; Financial contagion; Emerging market economies |
Subjects: | L100 Economics |
Department: | Faculties > Business and Law > Newcastle Business School |
Depositing User: | Rogelio Mercado |
Date Deposited: | 10 Jan 2017 09:46 |
Last Modified: | 19 Nov 2019 09:50 |
URI: | http://nrl.northumbria.ac.uk/id/eprint/29088 |
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