Publikation:

The Transmission of US Financial Stress : Evidence for Emerging Market Economies

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2013

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http://nbn-resolving.de/urn:nbn:de:bsz:352-0-274703
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Wirtschaftswissenschaften: Publikationen
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Working Paper/Technical Report
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Zusammenfassung

We provide empirical evidence that US financial stress shocks (US-FSSs) are an important driver for economic dynamics and fluctuations in emerging market economies (EMEs). Applying a structural vector auto regression, we analyze the international transmission of US-FSSs to eight EMEs using monthly data from 1999 to 2012. US-FSSs are identified as unexpected changes in the financial conditions index of the Federal Reserve Bank of Chicago. Findings indicate that a typical EME experiences similar negative effects as the US economy in response to US-FSSs. Our results emphasize that the transmission through international financial interconnections is dominant, while contagion through trade is inessential. Further, with regard to fluctuations in real economic activity, US-FSSs are as important as all other external factors jointly. In general, US-FSSs represent a crucial driver for volatility in the emerging world; also at business cycle frequencies.

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Fachgebiet (DDC)
330 Wirtschaft

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Financial Stress Shocks, International Transmission, Emerging Markets, SVAR

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ISO 690FINK, Fabian, Yves S. SCHÜLER, 2013. The Transmission of US Financial Stress : Evidence for Emerging Market Economies
BibTex
@techreport{Fink2013Trans-29704,
  year={2013},
  series={Working Paper Series / Department of Economics},
  title={The Transmission of US Financial Stress : Evidence for Emerging Market Economies},
  number={2013‐01},
  author={Fink, Fabian and Schüler, Yves S.}
}
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    <dcterms:abstract xml:lang="eng">We provide empirical evidence that US financial stress shocks (US-FSSs) are an important driver for economic dynamics and fluctuations in emerging market economies (EMEs). Applying a structural vector auto regression, we analyze the international transmission of US-FSSs to eight EMEs using monthly data from 1999 to 2012. US-FSSs are identified as unexpected changes in the financial conditions index of the Federal Reserve Bank of Chicago. Findings indicate that a typical EME experiences similar negative effects as the US economy in response to US-FSSs. Our results emphasize that the transmission through international financial interconnections is dominant, while contagion through trade is inessential. Further, with regard to fluctuations in real economic activity, US-FSSs are as important as all other external factors jointly. In general, US-FSSs represent a crucial driver for volatility in the emerging world; also at business cycle frequencies.</dcterms:abstract>
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