Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/76722 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1844
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
Financial stress
Financial crises
Business cycles
Dynamic Factor Model
Global VAR
JEL: 
E32
E52
F36
F37
F41
Dokumentart: 
Working Paper

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