Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emer...

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

英文文献：Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries-美国金融危机对新兴亚洲国家金融市场的溢出效应
英文文献作者：Bong-Han Kim,Hyeongwoo Kim,Bong-Soo Lee
英文文献摘要：
We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse of Lehman Brothers in September 2008. We further find a dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor-OIS spread, the sovereign CDS premium, and foreign investment are found to be significant factors affecting foreign exchange markets.

通过使用多元GARCH模型估计各国金融资产回报的条件相关性，我们研究了最近美国金融危机对五个新兴亚洲国家的溢出效应。我们提出了一种新的方法，同时估计条件相关系数及其决定因素随时间的影响，这可以用来识别溢出的渠道。我们发现了2008年9月雷曼兄弟(Lehman Brothers)破产引发金融危机蔓延的一些证据。我们进一步发现，外国投资在国际股票市场的条件相关性中占主导地位。美元Libor-OIS息差、主权CDS溢价以及外国投资被认为是影响外汇市场的重要因素。

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖