| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8787 |
| DP8787 Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis | |
| Marcel Fratzscher; Alexander Chudik | |
| 发表日期 | 2012 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR methodology, the findings reveal fundamental differences in the transmission strength and pattern between the 2007-08 financial crisis and the 2010-11 sovereign debt crisis. Unlike in the former crisis, emerging market economies have become much more resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The paper relates this evolving transmission pattern to portfolio choice decisions by investors and finds that countries' sovereign rating, quality of institutions and their financial exposure are determinants of cross-country differences in the transmission. |
| 主题 | International Macroeconomics |
| 关键词 | Advanced economies Capital flows Emerging market economies Global financial crisis High dimensional vars Liquidity Risk Sovereign debt crisis Transmission |
| URL | https://cepr.org/publications/dp8787 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537623 |
| 推荐引用方式 GB/T 7714 | Marcel Fratzscher,Alexander Chudik. DP8787 Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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