Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153719 
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper No. 1285
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging market economies. The tightening of financial conditions was a key transmission channel for advanced economies, whereas for emerging markets it was mainly the real side of the economy that suffered. Moreover, there are some striking differences also within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced economies.
Subjects: 
advanced economies
Emerging market economies
financial crisis
global transmission
Global VAR (GVAR)
liquidity
modelling
risk
shocks
US
JEL: 
E44
F3
C5
Document Type: 
Working Paper

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