Developing countries' financial vulnerability to the euro crisis: An event study of equity and bond markets
The global crisis highlights the continued vulnerability of developing countries to shocks from advanced economies. Just a few years after the global crisis, the eurozone sovereign debt crisis has emerged as the single biggest threat to the global outlook. In this paper, we apply the event study methodology to gauge the scope for financial contagion from the EU to developing countries. More specifically, we estimate the responsiveness of equity and bond markets in developing countries to global crisis news and euro crisis news. Overall, we find that whereas global crisis news had a consistently negative effect on returns of equity and bond markets in developing countries, the effect of euro crisis news was more mixed and limited.
|Date of creation:||May 2012|
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- Bertrand Candelon & Amadou N Sy & Rabah Arezki, 2011.
"Sovereign Rating News and Financial Markets Spillovers; Evidence from the European Debt Crisis,"
IMF Working Papers
11/68, International Monetary Fund.
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- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2013.
"The European Union, the Euro, and equity market integration,"
Journal of Financial Economics,
Elsevier, vol. 109(3), pages 583-603.
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- Stephan Siegel & Christian Lundblad & Campbell R. Harvey & Geert Bekaert, 2011. "The European Union, the Euro, and Equity Market Integration," 2011 Meeting Papers 468, Society for Economic Dynamics.
- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
- Iva Petrova & Michael G. Papaioannou & Dimitri Bellas, 2010. "Determinants of Emerging Market Sovereign Bond Spreads; Fundamentals vs Financial Stress," IMF Working Papers 10/281, International Monetary Fund.
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