Determinants of financial market spillovers : the role of portfolio diversification, trade, home bias, and concentration /

Determinants of financial market spillovers : the role of portfolio diversification, trade, home bias, and concentration /

Saved in:

Bibliographic Details
Author / Creator:	Shinagawa, Yoko (Economist), author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2014.
Description:	1 online resource (24 pages) : color illustrations.
Language:	English
Series:	IMF working paper ; WP/14/187 IMF working paper ; WP/14/187.
Subject:	Capital movements -- Econometric models. Capital market -- Econometric models. Investments -- Econometric models. Securities -- Econometric models. International trade. Financial risk management. Capital market -- Econometric models. Capital movements -- Econometric models. Financial risk management. International trade. Investments -- Econometric models. Securities -- Econometric models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12503417

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. Statistics Department, issuing body.
ISBN:	9781484351307 1484351304
Notes:	"October 2014." "Statistics Department." Includes bibliographical references (pages 22-23). Online resource; title from pdf title page (IMF.org Web site, viewed October 22, 2014).
Summary:	This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries' comovement of bond yields are large. Also, countries' geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).--Abstract.
Standard no.:	9781484351307

Description
Summary:	This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries' comovement of bond yields are large. Also, countries' geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).
Item Description:	"October 2014." "Statistics Department."
Physical Description:	1 online resource (24 pages) : color illustrations.
Bibliography:	Includes bibliographical references (pages 22-23).
ISBN:	9781484351307 1484351304