Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis

Dooley, Michael P.; Hutchison, Michael M.

doi:10.3386/w15120

Cited by 109 publications

(127 citation statements)

References 2 publications

Supporting

Mentioning

109

Contrasting

Unclassified

Order By: Relevance

“…The methodology of the paper is a quasi-event study, akin to Dooley and Hutchison (2009), tracing the impact of evolving narrative about the expectation of future tapering, as revealed to the public through the news media, on key emerging market prices. We use a panel fixed effect framework using daily data with a variety of models to evaluate the impact of "news" on the three assets prices (stock market, exchange rate and CDS spreads).…”

Section: Introductionmentioning

confidence: 99%

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

Aizenman¹,

Binici²,

Hutchison³

2014

Self Cite

View full text Add to dashboard Cite

This paper evaluates the impact of tapering "news" announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less to other Fed officials. We group emerging markets into those with "robust" fundamentals (current account surpluses, high international reserves and low external debt) and those with "fragile" fundamentals and, intriguingly, find that the exchange rates of the robust group (and lesser extend equity prices and CDS spreads) were more adversely affected to tapering news than the fragile group. The cumulative effects of tapering announcements after a month, however, appear to be quite similar for both robust and fragile emerging markets. We also show that more financially developed economies are more impacted by tapering news and a plausible interpretation is that more financially developed economies are more exposed, at least in the short-term, to external news announcements.

show abstract

Section: Introductionmentioning

confidence: 99%

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

Aizenman¹,

Binici²,

Hutchison³

2014

Self Cite

View full text Add to dashboard Cite

show abstract

“…In particular, there is no agreement about the pre-, post-, and crisis periods. Among others, Dooley and Hutchison (2009) Mun and Brooks (2012) extended Dooley and Hutchison's analysis to a broader set of developed and emerging markets and also extended the whole sample period to February 2010. They proposed four subsamples/phases of the whole sample period, and the last one from February 20, 2009to February 26, 2010.…”

Section: The 2007 Us Subprime Financial Crisis-influence On Emerginmentioning

confidence: 99%

“…In this research, the following countries classified in the literature as emerging markets from four continent-based regions, e.g. Bekaert, Harvey, and Ng (2005); Dooley and Hutchison (2009) ;Mun and Brooks (2012); Kearney (2012); Calomiris, Love, and Martinez Peria (2012), are selected:…”

mentioning

confidence: 99%

The 2007-2009 Financial Crisis on Emerging Markets: Quantitative Identification of Crisis in Continent-based Regions

Olbryś

2014

CBR

View full text Add to dashboard Cite

Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confirm that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the

show abstract

“…The previous studies have mainly focused on the effects of the financial crisis on the advanced and emerging market economies (see, for instance, Dooley and Hutchison, 2009;Claessens et al, 2010). Even though there are studies exploring the impacts of the financial crisis on the sub-Saharan African economies, some of the impacts are reported based on the estimated or expected data during the period of the crisis [see, for example, Massa and Velde, 2008;African Development Bank (ADB), 2009;Arief et al, 2009].…”

Section: Introductionmentioning

confidence: 99%