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The Evolution of Asian Financial Linkages

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Author Info

  • Selim Elekdag
  • Phurichai Rungcharoenkitkul
  • Yiqun Wu

Abstract

This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as well as policies. In line with Asia’s growing role in the global economy—including through deeper financial integration—regional financial markets have become more sensitive to systemic economies. Asian financial sensitivities to systemic economies exhibit cyclical fluctuations, and reached historically high levels during the latest global financial crisis of 2008–09. While macroeconomic policy frameworks have helped Asian economies cope well with market turbulence, they cannot completely insulate Asian financial markets against major global financial shocks.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/262.

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Length: 27
Date of creation: 01 Nov 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/262

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Related research

Keywords: Economic integration; Asia; Fiscal policy; financial linkages; beta; global financial crisis; macroeconomic policies; financial markets; equity market; financial integration; international reserves; contagion; equity markets; stock market; financial contagion; international capital; global stock market; international capital markets; stock markets; recession; portfolio investment; asian crisis; stock returns; international interest rates; financial deepening; international finance; global stock markets;

References

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  1. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud J. Mehl, 2011. "Global Crises and Equity Market Contagion," NBER Working Papers 17121, National Bureau of Economic Research, Inc.
  2. Carmen M. Reinhart & Kenneth S. Rogoff, 2002. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," NBER Working Papers 8963, National Bureau of Economic Research, Inc.
  3. Stephan Danninger & Irina Tytell & Ravi Balakrishnan & Selim Elekdag, 2009. "The Transmission of Financial Stress From Advanced to Emerging Economies," IMF Working Papers 09/133, International Monetary Fund.
  4. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia," IMF Working Papers 11/242, International Monetary Fund.
  5. Nickell, Stephen J, 1981. "Biases in Dynamic Models with Fixed Effects," Econometrica, Econometric Society, vol. 49(6), pages 1417-26, November.
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Cited by:
  1. Lillie Lam & James Yetman, 2013. "Asia’s decoupling: fact, forecast or fiction?," BIS Working Papers 438, Bank for International Settlements.

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