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Global financial conditions and asset markets: Evidence from fragile emerging economies

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  • Yildirim, Zekeriya

Abstract

This study examines the effects of global financial conditions on the asset markets of five fragile emerging economies—Brazil, India, Indonesia, South Africa, and Turkey—known as the Fragile Five. We estimate a structural vector autoregressive model with a block exogeneity procedure using high-frequency daily data and Bayesian inference. Our primary findings are as follows. (i) Global financial risk shocks have significant effects on government bond yields, equity prices, CDS spreads, and exchange rates in the Fragile Five. (ii) The effects differ considerably across the fragile countries and the assets. (iii) These country differentiations are strongly related to macroeconomic fundamentals. Finally, (iv) global financial risk shocks have a greater immediate effect on local currency government bond and CDS markets than on FX and stock markets.

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  • Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
    • Handle: RePEc:eee:ecmode:v:57:y:2016:i:c:p:208-220
    DOI: 10.1016/j.econmod.2016.04.018
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    9. M. Utku Ozmen & Erdal Yilmaz, 2016. "Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in �Fragile Economies�," Working Papers 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    More about this item

    Keywords

    Global risk aversion; US monetary policy; Asset price; Exchange rate; SVAR; Block exogeneity;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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