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Determinants of Financial Market Spillovers :, The Role of Portfolio Diversification, Trade, Home Bias, and Concentration, Yoko Shinagawa

Label
Determinants of Financial Market Spillovers :, The Role of Portfolio Diversification, Trade, Home Bias, and Concentration, Yoko Shinagawa
Language
eng
Abstract
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)
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
Determinants of Financial Market Spillovers :
Nature of contents
dictionaries
Responsibility statement
Yoko Shinagawa
Series statement
IMF Working Papers
Sub title
The Role of Portfolio Diversification, Trade, Home Bias, and Concentration
Table Of Contents
Cover; Contents; I. Introduction; II. Financial Market Spillovers: What's Involved; A. Concepts and Definitions of Financial Market Spillovers; B. Spillover Channels; III. Data; IV. Financial Market Spillovers: Stylized Facts and Possible Determinants; Tables; 1. Summary Statistics; 2. Equity Correlation in 2012 between Advanced Economies; Figures; 1. Average Bilateral Correlation; 2. Geographical Portfolio in Percent of GDP for Selected Advanced Economies; 3. Geographical Portfolio in Percent of GDP for Selected Emerging Economies4. Equity Home Bias for Advanced Economies (average during 2001-2012)V. Empirical models and results; A. Model; 5. Equity Return Correlation for Advanced Economies (average during 2001-2012); B. Empirical Results; 3. Determinants of Equity Market Spillover; 4. Determinants of Bond Market Spillover; VI. Conclusion and Future Research; VII. References; Appendix; 1. Summary Statistics
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