Determinants Of Financial Market Spillovers
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Determinants of Financial Market Spillovers
Author | : Yoko Shinagawa |
Publisher | : International Monetary Fund |
Total Pages | : 24 |
Release | : 2014-10-17 |
Genre | : Business & Economics |
ISBN | : 1484351304 |
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This paper defines financial market spillovers as the comovement between two countries’ financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries’ comovement of bond yields are large. Also, countries’ geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).
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