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The impact of the 2008 and 2010 financial crises on international stock markets: contagion and long memory

Horta, Paulo Jorge de Brito
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Tese de Doutorado
Publicado em //2015 ENG
Relevância na Pesquisa
66.72%
A Thesis presented in partial fulfillment of the Requirements for the Degree of Doctor in Economics / Classificação JEL: F30, G14, G15; Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3...

Ensaios sobre as crises financeiras internacionais: economias avançadas, emergentes e em desenvolvimento

Alves, Thaís Guimarães
Fonte: Universidade Federal de Uberlândia Publicador: Universidade Federal de Uberlândia
Tipo: Tese de Doutorado
POR
Relevância na Pesquisa
56.75%
Os três ensaios que compõem esse trabalho têm como objetivo geral analisar teórica e empiricamente as crises financeiras internacionais para economias avançadas, emergentes e em desenvolvimento. Fundamentalmente, cada ensaio tem a sua particularidade. Nestes termos, o Ensaio 1 realiza uma análise dos impactos da crise financeira de 2008 sobre o crescimento econômico para um conjunto de países avançados, economias emergentes e em desenvolvimento a partir da estimação de modelos do tipo cross section com o Método dos Mínimos Quadrados Ordinários (MQO). No segundo ensaio, a preocupação está nos determinantes da probabilidade de ocorrência dos tipos de crises financeiras internacionais no período 1970-2009 para países emergentes selecionados da América Latina (Argentina, Brasil e México) e da região asiática (Filipinas, Indonésia, Malásia e Tailândia) a partir da abordagem metodológica dos modelos com variáveis dependentes binárias do tipo MPL, PROBIT e LOGIT, onde a variável dependente está associada aos tipos de crises financeiras (default externo, endividamento interno, crises bancárias, crises inflacionárias, crises cambiais e crises financeiras internacionais gerais). Por fim, o último ensaio apresenta uma investigação empírica com dados em painel de 1970 a 2009 com modelos do tipo PROBIT e LOGIT no intuito de analisar os principais determinantes da probabilidade de ocorrência das crises financeiras para uma amostra de 118 países avançados...

Integração financeira, fluxos de capitais, taxa de câmbio e crises financeiras nos países em desenvolvimento: teorias e evidências

Baptista, Livia Nalesso
Fonte: Universidade Federal de Uberlândia Publicador: Universidade Federal de Uberlândia
Tipo: Dissertação
POR
Relevância na Pesquisa
56.76%
O objetivo desta dissertação é realizar uma investigação teórica e empírica acerca da relação entre integração financeira, fluxos de capitais e taxa de câmbio, e entre integração financeira, fluxos de capitais e crises financeiras para países em desenvolvimento. A análise da literatura teórica, realizada no Capítulo 1, explicita que não existe consenso quanto à hipótese de que a integração financeira e os fluxos de capitais estimulam o crescimento econômico e a suavização do consumo, mostrando que existem canais por meio dos quais a integração financeira e os fluxos de capitais podem levar a crises financeiras e à apreciação cambial. No Capítulo 2, é feita uma investigação econométrica acerca das relações entre integração financeira, fluxos de capitais e taxa de câmbio, para uma amostra de 63 países em desenvolvimento. Os resultados econométricos não sugerem que há uma relação estatisticamente significativa entre integração financeira e taxa de câmbio e, portanto, não corroboram a hipótese de que a integração financeira cause apreciação cambial. Além disso, os resultados sugerem que os fluxos de capitais causam apreciação cambial, e há evidências de que o efeito dos fluxos de capitais sobre a taxa de câmbio real efetiva dependem do nível de desenvolvimento financeiro...

Trade Credit and Bank Credit : Evidence from Recent Financial Crises

Love, Inessa; Preve, Lorenzo A.; Sarria-Allende, Virginia
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
66.53%
The authors study the effect of financial crises on trade credit in a sample of 890 firms in six emerging economies. They find that although provision of trade credit increases right after the crisis, it consequently collapses in the following months and years. The authors observe that firms with weaker financial position (for example, high pre-crisis level of short-term debt and low cash stocks and cash flows) are more likely to reduce trade credit provided to their customers. This suggests that the decline in aggregate credit provision is driven by the reduction in the supply of trade credit, which follows the bank credit crunch. The results are consistent with the "redistribution view" of trade credit provision, in which bank credit is redistributed by way of trade credit by the firms with stronger financial position to the firms with weaker financial stand

Financial Crises and Social Spending : The Impact of the 2008-2009 Crisis

Lewis, Maureen; Verhoeven, Marijn
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.55%
This paper examines the impacts of the 2008-2009 economic crisis on social spending, drawing on evidence at the global, national, and household levels, to provide a sense of the nature and the effects of the worldwide downturn on spending in the social sectors. It summarizes existing empirical evidence on the relationship between crises, or other serious dislocations on education, health, HIV/AIDS, and nutrition as background to the analysis of growth and social spending. The paper analyzes the relationship between GDP growth, growth in education and health spending, and projects expenditure responses to 2012, to illustrate how expected changes in future economic growth are likely to affect both absolute spending and growth in social expenditures. It provides an analysis of the effects on HIV/AIDS spending, a relatively new funding category and therefore outside the purview of the econometric analysis. It examines the responsiveness of Overseas Development Assistance (ODA) to financial crises in terms of subsequent allocations from the developed world...

Financial Crises, Financial Dependence, and Industry Growth

Laeven, Luc; Klingebiel, Daniela; Kroszner, Randy
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
EN_US
Relevância na Pesquisa
66.74%
The authors investigate the link between financial crises and industry growth. They analyze data from 19 industrial and developing countries that have experienced financial crises during the past 30 years to investigate how financial crises affect sectors dependent on external sources of finance. Specifically, the authors examine whether the impact of a financial crisis on externally dependent sectors varies with the depth of the financial system. They find that sectors highly dependent on external finance tend to experience a greater contraction of value added during a crisis in deeper financial systems than in countries with shallower financial systems. They hypothesize that the deepening of the financial system allows sectors dependent on external finance to obtain relatively more external funding in normal periods, so a crisis in such countries would have a disproportionately negative effect on externally dependent sectors. In contrast, since externally dependent firms tend to obtain relatively less external financing in shallower financial systems (and hence have relatively lower growth rates in such countries during normal times)...

Financial Crises, Social Impact, and Risk Management : Lessons and Challenges

Guerschanik Calvo, Sara
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.51%
This paper reviews lessons learned from financial crises; describes the channels of transmissions of economic booms and busts in crisis vulnerable economies; and highlights the central role of external factors, credit and the mitigating role of the public sector, with a broad focus on the impact on the poor from developing countries. Financial crises increase poverty, may increase income inequality and may deteriorate human development indicators such as health and education. Public sector credit and international reserves have proven effective in preventing a fully-fledged financial crisis, as has concurrent external support, though these mitigating actions have not been effective in preventing a drop in gross domestic product (GDP) even in economies perceived to be well managed such as Chile in 1999-2000 and 2009. While public banks provide an additional tool for crisis management in the short run, credit misallocation and efficiency losses due to politically motivated lending are still widespread.

Financial Crises, Credit Ratings, and Bank Failures : An Introduction

Reinhart, Carmen M.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
66.6%
Financial crises of every variety rocked emerging markets in the second half of the 1990s. Nearly every region experienced currency crashes, banking crises were both numerous and severe, and a few countries, facing extreme duress, defaulted on their sovereign debt. Not surprisingly, then, there is considerable interest in policy and academic circles and within the investment community in gaining a better understanding of financial and economic distress.

The Social Impact of Financial Crises: Evidence from the Global Financial Crisis

Otker-Robe, Inci; Podpiera, Anca Maria
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.62%
Financial systems can contribute to economic development by providing people with useful tools for risk management, but when they fail to manage the risks they retain, they can create severe financial crises with devastating social and economic effects. The financial crisis that hit the world economy in 2008-2009 has transformed the lives of many individuals and families, even in advanced countries, where millions of people fell, or are at risk of falling, into poverty and exclusion. For most regions and income groups in developing countries, progress to meet the Millennium Development Goals by 2015 has slowed and income distribution has worsened for a number of countries. Countries hardest hit by the crisis lost more than a decade of economic time. As the efforts to strengthen the financial systems and improve the resilience of the global financial system continue around the world, the challenge for policy makers is to incorporate the lessons from the failures to take into consideration the complex linkages between financial...

Financial Policies and the Prevention of Financial Crises in Emerging Market Economies

Mishkin, Frederic S.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
66.71%
The author defines a financial crisis as a disruption in financial markets in which adverse selection and moral hazard problems become much worse, so that financial markets are unable to efficiently channel funds to those who have the most productive investment opportunities. As financial markets become unable to function efficiently, economic activity sharply contracts. Factors that promote financial crises include, mainly, a deterioration in financial sector balance sheets, increases in interest rates and in uncertainty, and deterioration in nonfinancial balance sheets because of changes in asset prices. Financial policies in 12 areas could help make financial crises less likely in emerging market economies, says the author. He discusses: Prudential supervision. Accounting and disclosure requirements. Legal and judicial systems. Market-based discipline. Entry of foreign banks. Capital controls. Reduction of the role of state-owned financial institutions. Restrictions on foreign-dominated debt. The elimination of too-big-to-fail practices in the corporate sector. The proper sequencing of financial liberalization. Monetary policy and price stability. Exchange rate regimes and foreign exchange reserves. If the political will to adopt sound policies in these areas grows in emerging market economies...

Asian economic and financial crises: causes, ramifications and lessons

Das, Dilip K
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 84884 bytes; application/pdf
EN_AU
Relevância na Pesquisa
66.57%
Financial globalisation during the 1990s impinged upon world savings and investment flows, macroeconomic developments, challenges confronting policy makers, international investors and financial market regulators. Experiences of the last two decades reveal that international financial markets are subject to unpredictable swings, costly financial crises and contagions. Examples abound. Abrupt declines in asset prices were notable in the equity market decline of 1987, real estate values plummeted in the late 1980s and early 1990s, and bond markets weakened in 1994. Other examples include the Latin American debt crises of the 1980s, and major bouts of volatility in foreign exchange markets. The latter is demonstrated by the realignments of major currencies in the last quarter of 1985, the speculative attack on the European exchange rate mechanism (ERM) in 1882, the sharp movements in the dollar-yen exchange rate in 1995, and steep exchange rate depreciations and the associated financial collapse of financial systems in the latter half of 1996. This paper focuses on the last event.

Are financial crises alike?

McKibbin, Renee Anne; Dungey, Mardi; González-Hermosillo, Brenda; Martin, Vance L.; Tang, Chrismin
Fonte: International Monetray Fund Publicador: International Monetray Fund
Tipo: Working/Technical Paper Formato: 56 pages
Relevância na Pesquisa
66.6%
This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and asset classes. The crises considered are Russia and LTCM in the second half of 1998, Brazil in early 1999, dot-com in 2000, Argentina in 2001-2005, and the recent U.S. subprime mortgage and credit crisis in 2007. Using daily stock and bond returns on emerging and developed markets from 1998 to 2007, the empirical results show that financial crises are indeed alike, as all linkages are statistically important across all crises. However, the strength of these linkages does vary across crises. Contagion channels are widespread during the Russian/LTCM crisis, are less important during subsequent crises until the subprime crisis, where again the transmission of contagion becomes rampant.

The internationalisation of financial crises: banking and currency crises 1883–2008

Dungey, Mardi; Jacobs, Jan P.A.M.; Lestano, null
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 19 pages
Relevância na Pesquisa
66.54%
Financial crises are high cost events which can transmit across international borders. Using data from 1883 to 2008, this article develops a means of mapping changes in the degree of international synchronisation of banking and currency crises through a formal concordance index. This index specifically accounts for the typically low incidence and potential serial correlation of crisis data. The results show that banking crises were highly internationalised at the beginning of the 20th century, and became far less so in the strong regulatory environment prevailing after the Depression until the 1980s. A strong increase in the synchronicity of international banking crises is revealed during the late 20th and early 21st century. Currency crises began the century as more idiosyncratic, but have tended to become more synchronised over the 115 year sample.; Dungey acknowledges funding from ARC Grant DP0343418, Jacobs acknowledges support from the Research School SOM, University of Groningen. Lestano acknowledges support of the Atma Jaya Catholic University and thanks the University of Groningen.

Financial integration and financial development in transition economies: What happens during financial crises?

BREZIGAR-MASTEN, Arjana; CORICELLI, Fabrizio; MASTEN, Igor
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: application/pdf; digital
EN
Relevância na Pesquisa
66.61%
This paper provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing “normal times” from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by financial development and financial integration, our estimates show that a higher degree of financial openness tends to reduce the contractionary effect of financial crises, by cushioning the effect on the domestic supply of credit. Consequently, the high reliance on international capital flows by transition countries does not necessarily increase their financial fragility. This implies that financial protectionism is a self-defeating policy, at least for transition countries.

Once bitten, twice shy : financial crises, policy learning and mortgage markets in advanced capitalist economies

BAYRAM, Ismail Emre
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Tese de Doutorado
EN
Relevância na Pesquisa
66.69%
Defence date: 30 April 2014; Examining Board: Professor Sven Steinmo, European University Institute (Supervisor) Professor Pepper Culpepper, European University Institute Professor Peter Englund, Stockholm School of Economics Professor Gunnar Trumbull, Harvard Business School.; Do nations learn from their financial crises? In addressing this question, this dissertation explores whether politicians, supervisors and bankers change their preferences towards financial markets when they recognize they have made significant mistakes in the recent past. It also asks whether such recognition of failure leads to a process of change in rules, policies and institutions, in different national contexts. In addressing this broader theoretical question, the dissertation focuses on the mortgage credit markets in advanced capitalist economies. Challenging the conventional approaches in political science and financial economics, it shows that the longitudinal and cross-sectional variations in mortgage credit markets can best be explained with reference to nations' different experiences of financial crisis. Borrowing insights from learning theory in political economy and public policy analysis, it argues specifically that those nations (i) that had severe financial crises in their recent past and (ii) that have coordinative institutions and elites...

A Practical Guide to Managing Systemic Financial Crises : A Review of Approaches Taken in Indonesia, The Republic of Korea, and Thailand

Scott, David
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
66.69%
The author examines experiences in Indonesia, the Republic of Korea, and Thailand in confronting systemic financial crises during the 1990s. He draws on the knowledge and experience of World Bank staff who managed the Bank's financial and technical assistance to those countries. In reviewing the principal actions taken by the governments to resolve the crises, the author describes key challenges that governments face in tackling crises, defines basic guidelines and principles for responding to those challenges, and proposes steps to improve the ability of governments to deal with crises when they do occur, as well as to mitigate the risk of crises in the first place. The author addresses matters such as the provision of liquidity, institutional arrangements for crisis resolution, use of public funds, diagnosis of problems, resolution, recapitalization, restructuring of banks, privatization of banks, restructuring of troubled debt, and use of asset management companies. He goes on to develop the conceptual underpinnings for two fundamental improvements in crisis management practices...

The Impact of Financial Crises on Labor Markets, Household Incomes, and Poverty : A Review of Evidence

Fallon, Peter R.; Lucas, Robert E. B.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Journal Article; Publications & Research :: Journal Article; Publications & Research :: Journal Article
ENGLISH; EN_US
Relevância na Pesquisa
66.61%
The 1990s have witnessed several financial crises, of which the East Asia and Mexico tequila crises are perhaps the most well-known. What impact have these crises had on labor markets, household incomes, and poverty? Total employment fell by much less than production declines and even increased in some cases. However, these aggregates mask considerable churning in employment across sectors, employment status, and location. Economies that experienced the sharpest currency depreciations suffered the deepest cuts in real wages, though deeper cuts in real wages relative to Gross Domestic Product (GDP) were associated with smaller rises in unemployment. To some extent, families smoothed their incomes through increased labor force participation and private transfers, though the limited evidence available suggests that wealthier families were better able to smooth consumption. The initial impact of the crises was on the urban corporate sector, but rural households were affected as well and in some instances suffered deeper losses than did urban families. School enrollment declined...

Synchronisation of financial crises

Dungey, Mardi; Jacobs, Jan P A M; Lestano
Fonte: CFAP, Cambridge Judge Business School, University of Cambridge Publicador: CFAP, Cambridge Judge Business School, University of Cambridge
Tipo: Working Paper; published version
EN
Relevância na Pesquisa
66.57%
This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to non-tranquil periods to develop a bivariate index and its multivariate analog for potentially serially correlated categorical data. An application to the Bordo et al. (2001) data set reveals the extent of concordance in banking and currency crises across countries. The internationalisation of financial crises in the 20th century is shown to have increased for currency crises and decreased for banking crises.

Financial Crises In The Context Of Disaster Theory: Recent U.S. Cast Studies

Dynes, Patrick; Dynes, Russell R.
Fonte: Disaster Research Center Publicador: Disaster Research Center
Tipo: Outros Formato: 1152041 bytes; application/pdf
EN_US
Relevância na Pesquisa
66.57%
The discussion here focuses on the organized response to financial crises which occurred during the 1980’s in the United States. In particular, the Continental Illinois Bank Crises, the Ohio Savings and Loan Crises, and the Stock Market Crises of 1987 are examined. The case studies allows the consideration of those events in the context of expanding disaster theory to a wider range of events. It will also allow the examination of how financial crises are similar to or different fiom more conventional notions of disaster.

Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises

Heymans,Andre; da Camara,Ricardo
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2013 EN
Relevância na Pesquisa
66.45%
There is a large body of research that proves the co-movement of international stock markets over time. This co-movement manifests through various instruments ranging from stocks and bonds, to soft commodities and can be visualised as returns and volatility spill-over effects. During the most recent financial crisis, it was once again highlighted that no market is immune to spill-over effects from other international markets. By employing an aggregate-shock (AS) model, returns and volatility spill-over effects of the Hang Seng, London, Paris, Frankfurt and New York stock markets to the JSE are confirmed. The findings also confirm the JSE All share index is directly affected through contagion by the returns of the economic area where the crisis originates. However, the results further confirm that South Africa has progressed in shielding its stock market against financial crises in recent times. These findings hold important implications for stock portfolio managers in South Africa.