Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153158
Authors: 
Cuadro Sáez, Lucía
Fratzscher, Marcel
Thimann, Christian
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 724
Abstract: 
The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in “good” times as in “bad” times, i.e. during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries’ equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets.
Subjects: 
equity markets
financial area
global financial markets
transmission
United States
JEL: 
F36
F30
G15
Document Type: 
Working Paper

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