Regional Financial Spillovers Across Europe : A Global VAR Analysis /

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...

Full description

Bibliographic Details
Main Author:	Sgherri, Silvia
Other Authors:	Galesi, Alessandro
Format:	Book
Language:	English
Published:	Washington, D.C. : International Monetary Fund, 2009
Series:	IMF Working Papers ; Working Paper No. 09/23 IMF Working Papers; Working Paper ; No. 2009/023 IMF eLibrary
Subjects:	Asymptotic distribution Bootstrap technique Bootstrap Capital markets Central limit theorems Cointegration Confidence intervals Consumer price index Correlation Correlations Covariance Covariances Domestic capital markets Domestic capital Econometrics Economic models Emerging markets Equation Equity prices Error variance Estimation procedure Financial statistics Financial systems Gross domestic product Heteroscedasticity Hypothesis testing Linear model Linear models Linear trend Number of parameters Predictions Rate of change Regional shocks Significance level Standard error Standard errors Statistical analysis Statistical significance Statistics Structural analysis Subsidiaries Time series analysis Time series Banking Banks and Banking Banks and banking Banks and banking, Foreign Banks Credit Depository Institutions Diffusion Processes Dynamic Quantile Regressions Dynamic Treatment Effect Models Econometric analysis Econometrics & economic statistics Finance Financial Instruments Financial institutions Financial services Foreign banks General Aggregative Models: Forecasting and Simulation Institutional Investors Interbank rates Interest Rates: Determination, Term Structure, and Effects Interest rates Investment & securities Investments: Stocks Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation Micro Finance Institutions Monetary Policy, Central Banking, and the Supply of Money and Credit: General Monetary economics Money and Monetary Policy Money Mortgages Non-bank Financial Institutions Pension Funds State Space Models Stocks Time-Series Models Vector autoregression Austria Belgium Bulgaria Croatia Estonia France Hungary Poland Slovak Republic Sweden United States

Internet

This item is not available through BorrowDirect. Please contact your institution’s interlibrary loan office for further assistance.

Regional Financial Spillovers Across Europe : A Global VAR Analysis /

Internet

Similar Items