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

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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

Table of Contents:

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.
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.

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