Financial Markets in Times of Stress
AbstractIn this paper, we examine which markets are most synchronized internationally and exhibit the greater extent of comovement. We focus on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. Our sample covers thirty-five developed and emerging market countries during 1997-1999. The extent of comovement and responsiveness to external shocks is examined in different ways. To measure the response of these markets to adverse external shocks, we date the peaks in domestic interest rates and bond spreads and the largest daily declines in equity prices and assess the extent of clustering around the same period. We also analyze which markets show evidence of greatest comovement in general, irrespective of whether there are adverse shocks or not.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 8569.
Date of creation: Oct 2001
Date of revision:
Publication status: published as Kaminsky, Graciela L. and Carmen M. Reinhart. "Financial Markets In Times Of Stress," Journal of Development Economics, 2002, v69(2,Dec), 451-470.
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Other versions of this item:
- F30 - International Economics - - International Finance - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-29 (All new papers)
- NEP-FIN-2001-10-29 (Finance)
- NEP-FMK-2001-10-29 (Financial Markets)
- NEP-PKE-2001-10-29 (Post Keynesian Economics)
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