International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil?: Asset Price Contagion During the Global Financial Crisis
Using the 2008-09 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. Defining contagion as the transmission of financial market movements beyond the co-movements that would occur in "tranquil...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Paris
OECD Publishing
2012
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| Schriftenreihe: | OECD Economics Department Working Papers
no.969 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Using the 2008-09 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. Defining contagion as the transmission of financial market movements beyond the co-movements that would occur in "tranquil" times, the paper looks into the presence of contagion in the period of turmoil prior to the fall of Lehman Brothers, in the main crisis period following the Lehman collapse, and in the ensuing late stages of the crisis. The analysis uses bilateral financial and trade linkages and daily data on equity and bond prices for a sample of 46 countries between 2002 and 2011. Bilateral debt integration and common bank lenders are found to have transmitted financial turmoil through equity and bond markets at the height of the crisis. During this period, real trade linkages also increased equity price co-movements. By contrast, no robust evidence is found that equity or FDI integration increased asset price co-movements during the crisis. |
| Beschreibung: | 1 Online-Ressource (34 p.) 21 x 29.7cm. |
| DOI: | 10.1787/5k97b0lbdq40-en |
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| spelling | Ahrend, Rudiger VerfasserIn aut International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis Rudiger, Ahrend and Antoine, Goujard = Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? : La contagion des prix des actifs lors de la crise financière / Rudiger, Ahrend et Antoine, Goujard Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? Paris OECD Publishing 2012 1 Online-Ressource (34 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.969 Using the 2008-09 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. Defining contagion as the transmission of financial market movements beyond the co-movements that would occur in "tranquil" times, the paper looks into the presence of contagion in the period of turmoil prior to the fall of Lehman Brothers, in the main crisis period following the Lehman collapse, and in the ensuing late stages of the crisis. The analysis uses bilateral financial and trade linkages and daily data on equity and bond prices for a sample of 46 countries between 2002 and 2011. Bilateral debt integration and common bank lenders are found to have transmitted financial turmoil through equity and bond markets at the height of the crisis. During this period, real trade linkages also increased equity price co-movements. By contrast, no robust evidence is found that equity or FDI integration increased asset price co-movements during the crisis. Economics Goujard, Antoine MitwirkendeR ctb FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/5k97b0lbdq40-en Volltext |
| spellingShingle | Ahrend, Rudiger International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis Economics |
| title | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis |
| title_alt | Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? |
| title_auth | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis |
| title_exact_search | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis |
| title_full | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis Rudiger, Ahrend and Antoine, Goujard = Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? : La contagion des prix des actifs lors de la crise financière / Rudiger, Ahrend et Antoine, Goujard |
| title_fullStr | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis Rudiger, Ahrend and Antoine, Goujard = Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? : La contagion des prix des actifs lors de la crise financière / Rudiger, Ahrend et Antoine, Goujard |
| title_full_unstemmed | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? Asset Price Contagion During the Global Financial Crisis Rudiger, Ahrend and Antoine, Goujard = Flux de capitaux internationaux et fragilité financière - Partie 6. Toutes les formes d'intégration financière sont-elles risquées en cas de chocs financiers? : La contagion des prix des actifs lors de la crise financière / Rudiger, Ahrend et Antoine, Goujard |
| title_short | International Capital Mobility and Financial Fragility - Part 6. Are all Forms of Financial Integration Equally Risky in Times of Financial Turmoil? |
| title_sort | international capital mobility and financial fragility part 6 are all forms of financial integration equally risky in times of financial turmoil asset price contagion during the global financial crisis |
| title_sub | Asset Price Contagion During the Global Financial Crisis |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/5k97b0lbdq40-en |
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