Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014

Kang, Hyunju; Suh, Hyunduk

doi:10.1016/j.intfin.2015.05.016

Cited by 10 publications

(3 citation statements)

References 26 publications

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“…However, the literature in this area has a number of limitations. One limitation is that the different studies frequently focus on CDS spreads within a single country (such as the US) or within a region (such as Europe); others focus on the sovereign or banking sector among a group of countries; see, for example, Ballester et al (2019,) Cho et al (2014, Dooley and Hutchison (2009), Hassan et al (2017) and Kang and Suh (2015). Very few published works focus on international linkages between sectors in Asia.…”

Section: (I) Credit Risk Linkages Between Sovereigns and Financial Firmsmentioning

confidence: 99%

The cross-country transmission of credit risk between sovereigns and firms in Asia

Zha

Power

Tantisantiwong

2020

The Quarterly Review of Economics and Finance

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Section: (I) Credit Risk Linkages Between Sovereigns and Financial Firmsmentioning

confidence: 99%

The cross-country transmission of credit risk between sovereigns and firms in Asia

Zha

Power

Tantisantiwong

2020

The Quarterly Review of Economics and Finance

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“…Thus, they argue that this additional liquidity risk should be closely monitored by fund managers. In contrast, due to the increasing integration of emerging markets to the global economy, Kang and Suh (2015) examine to what extent the financial turmoil experienced by emerging markets in 2013-2014 spread to advanced economies creating what they call reverse-spillovers. They consider sovereign CDSs for a broad battery of advanced and emerging markets and they obtain findings that support their hypothesis.…”

Section: Emerging Market Connectedness: Evidence From the 2007-2009 Gmentioning

confidence: 99%

A systematic review of sovereign connectedness on emerging economies

Ballester

Díaz-Mendoza

González‐Urteaga

2019

International Review of Financial Analysis

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This article systematically reviews the academic literature on emerging market contagion in order to summarize what we have learnt about the transmission channels existing in these countries. Given the large body of academic research focused on this topic, we especially direct our attention to the strand of the literature that defines and empirically analyses this topic as the significant increase in the cross-market correlations between asset returns during crisis periods or when a shock occurs. The survey covers the findings on financial contagion in the stock, bond, exchange and credit default swap markets during a large period that covers several crises that have characterized the related literature, such as the currency crises of the 1990s, the global financial crisis and the Eurozone debt crisis. Finally, new topics are identified, serving as an outline for future research.

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“…They argued that emerging countries tend to influence global financial conditions at the time of financial stress to a larger degree. (Kang & Suh, 2015) Several papers have aimed to compare the importance of large central banks, though there is still room for comparative analysis. Zorzi et al compared…”

Section: Cross-border Flowsmentioning

confidence: 99%

Monetary Policy Spillovers – The Impact of Advanced Central Banks’ Decisions on Emerging Financial Markets

Sztanó

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The thesis delves into the impact of advanced central banks' monetary policies on emerging government bond markets, the so-called 'monetary policy spillovers.' Over the past decade, there has been a reported correlation between interest rates on advanced and emerging financial markets. Following the Global Financial Crisis, substantial international capital flows occurred, particularly to government bond markets of emerging countries, influenced by the aggressive monetary easing of the major central banks. The research aims to address the puzzling question of the extent to which large central banks impact emerging financial markets. It outlines a research agenda to examine the size of monetary policy spillovers in the case of the Federal Reserve, the European Central Bank, and the Bank of Japan. Beyond the magnitude of the spillover effect, regional differences and factors influencing recipient countries' sensitivity to international shocks are also examined. In summary, the thesis contributes to the international finance literature by shedding light on the relationship between advanced central banks’ monetary policy decisions and the dynamics of emerging government bond markets.

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Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014

Cited by 10 publications

References 26 publications

The cross-country transmission of credit risk between sovereigns and firms in Asia

The cross-country transmission of credit risk between sovereigns and firms in Asia

A systematic review of sovereign connectedness on emerging economies

Monetary Policy Spillovers – The Impact of Advanced Central Banks’ Decisions on Emerging Financial Markets

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