Financial Markets in Times of Stress
In 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.
|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.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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13709, University Library of Munich, Germany.
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13862, University Library of Munich, Germany.
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14000, University Library of Munich, Germany.
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in: Regional and Global Capital Flows: Macroeconomic Causes and Consequences, NBER-EASE Volume 10, pages 73-99
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"The mirage of floating exchange rates,"
13736, University Library of Munich, Germany.
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