C. Yan
On cross-border bank credit and the U.S. financial crisis transmission to equity markets
Yan, C.; Phylaktis, K.; Fuertes, A.
Authors
K. Phylaktis
A. Fuertes
Abstract
This paper examines the role played by cross-border equity, bond and bank credit flows versus international trade in the transmission of the U.S. financial crisis to equity markets worldwide. We estimate vector autoregressive models with exogenous global factors using monthly data on 36 emerging and developed countries. The results from an eclectic methodology that includes causality tests, generalized impulse responses and forecast error variance decompositions indicate that the crisis is mostly transmitted through bank credit rather than portfolio flows and international trade. The results are robust to altering the exogenous versus endogenous vectors of variables, to measuring equity prices in U.S. dollars or local currency, to averaging the data across countries versus averaging the parameters from individual country estimation, and to redefining the start date of the crisis. The findings endorse the use of banking regulation and capital controls as part of the policy toolkit to limit financial vulnerability.
Citation
Yan, C., Phylaktis, K., & Fuertes, A. (2016). On cross-border bank credit and the U.S. financial crisis transmission to equity markets. Journal of International Money and Finance, 69, 108-134. https://doi.org/10.1016/j.jimonfin.2016.06.014
Journal Article Type | Article |
---|---|
Acceptance Date | Jun 24, 2016 |
Online Publication Date | Jul 4, 2016 |
Publication Date | Dec 1, 2016 |
Deposit Date | Jun 24, 2016 |
Publicly Available Date | Jan 4, 2018 |
Journal | Journal of International Money and Finance |
Print ISSN | 0261-5606 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 69 |
Pages | 108-134 |
DOI | https://doi.org/10.1016/j.jimonfin.2016.06.014 |
Public URL | https://durham-repository.worktribe.com/output/1409051 |
Files
Accepted Journal Article
(2 Mb)
PDF
Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/
Copyright Statement
© 2016 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
You might also like
Hot Money in disaggregated capital flows
(2017)
Journal Article
A skeptical appraisal of the bootstrap approach in fund performance evaluation
(2018)
Journal Article
Modeling fundamental analysis into portfolio selection
(2018)
Journal Article
Does hot money in equity flows affect emerging stock markets?
(2017)
Journal Article
Evaluating the size of the bootstrap method for fund performance evaluation
(2017)
Journal Article
Downloadable Citations
About Durham Research Online (DRO)
Administrator e-mail: dro.admin@durham.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search