Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/76722
Authors: 
Dovern, Jonas
van Roye, Björn
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1844
Abstract: 
We analyze the international transmission of financial stress and its effects on economic activity. We construct country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We show that there is a strong co-movement of the FSI during financial crises and that the FSI of financially open countries are relatively more correlated to FSI in other countries. Subsequently, we investigate the international transmission of financial stress and its impact on economic activity in a Global VAR (GVAR) model. We show that i) financial stress is quickly transmitted internationally, ii) financial stress has a lagged but persistent negative effect on economic activity, and iii) that economic slowdowns induce only limited financial stress.
Subjects: 
Financial stress
Financial crises
Business cycles
Dynamic Factor Model
Global VAR
JEL: 
E32
E52
F36
F37
F41
Document Type: 
Working Paper

Files in This Item:
File
Size
567.52 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.