Determinants of financial market spillovers : the role of portfolio diversification, trade, home bias, and concentration /
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| 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: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12503417 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 14/187eb | |
| 100 | 1 | |a Shinagawa, Yoko |c (Economist), |e author. |0 http://id.loc.gov/authorities/names/no2014014041 | |
| 245 | 1 | 0 | |a Determinants of financial market spillovers : |b the role of portfolio diversification, trade, home bias, and concentration / |c prepared by Yoko Shinegawa. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2014. | ||
| 300 | |a 1 online resource (24 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/14/187 | |
| 500 | |a "October 2014." | ||
| 500 | |a "Statistics Department." | ||
| 504 | |a Includes bibliographical references (pages 22-23). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed October 22, 2014). | |
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Financial Market Spillovers: What's Involved; A. Concepts and Definitions of Financial Market Spillovers; B. Spillover Channels; III. Data; IV. Financial Market Spillovers: Stylized Facts and Possible Determinants; Tables; 1. Summary Statistics; 2. Equity Correlation in 2012 between Advanced Economies; Figures; 1. Average Bilateral Correlation; 2. Geographical Portfolio in Percent of GDP for Selected Advanced Economies; 3. Geographical Portfolio in Percent of GDP for Selected Emerging Economies. | |
| 505 | 8 | |a 4. Equity Home Bias for Advanced Economies (average during 2001-2012)V. Empirical models and results; A. Model; 5. Equity Return Correlation for Advanced Economies (average during 2001-2012); B. Empirical Results; 3. Determinants of Equity Market Spillover; 4. Determinants of Bond Market Spillover; VI. Conclusion and Future Research; VII. References; Appendix; 1. Summary Statistics. | |
| 650 | 0 | |a Capital movements |x Econometric models. | |
| 650 | 0 | |a Capital market |x Econometric models. | |
| 650 | 0 | |a Investments |x Econometric models. | |
| 650 | 0 | |a Securities |x Econometric models. | |
| 650 | 0 | |a International trade. |0 http://id.loc.gov/authorities/subjects/sh87004890 | |
| 650 | 0 | |a Financial risk management. |0 http://id.loc.gov/authorities/subjects/sh2005007073 | |
| 650 | 6 | |a Mouvements de capitaux |x Modèles économétriques. | |
| 650 | 6 | |a Marché financier |x Modèles économétriques. | |
| 650 | 6 | |a Investissements |x Modèles économétriques. | |
| 650 | 6 | |a Commerce international. | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 7 | |a Capital market |x Econometric models. |2 fast |0 (OCoLC)fst00846359 | |
| 650 | 7 | |a Capital movements |x Econometric models. |2 fast |0 (OCoLC)fst00846376 | |
| 650 | 7 | |a Financial risk management. |2 fast |0 (OCoLC)fst01739657 | |
| 650 | 7 | |a International trade. |2 fast |0 (OCoLC)fst00977128 | |
| 650 | 7 | |a Investments |x Econometric models. |2 fast |0 (OCoLC)fst00978254 | |
| 650 | 7 | |a Securities |x Econometric models. |2 fast |0 (OCoLC)fst01110757 | |
| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Statistics Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n91042111 | |
| 830 | 0 | |a IMF working paper ; |v WP/14/187. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2014/187/001.2014.issue-187-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 14/187eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2014/187/001.2014.issue-187-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12147720 | ||