Details

Autor(en) / Beteiligte

• Fink, Fabian
• Schüler, Yves S.

Titel

The transmission of US systemic financial stress: Evidence for emerging market economies

Ist Teil von

• Journal of international money and finance, 2015-07, Vol.55, p.6-26

Ort / Verlag

Kidlington: Elsevier Ltd

Erscheinungsjahr

2015

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• We provide empirical evidence that US systemic financial stress shocks (US-SFSSs) are an important driver of economic dynamics and fluctuations in EMEs. Applying a structural vector autoregression, we analyze the international transmission of US-SFSSs to eight EMEs using monthly data from 1999 to 2012. US-SFSSs are identified as unexpected changes in the financial conditions index of the Federal Reserve Bank of Chicago. Findings indicate that a typical emerging market real economy experiences similar negative effects to those seen in the US real economy in response to US-SFSSs. For international transmission, our results emphasize that financial interconnectedness with the US is important relative to trade relations. The analyzed cases of Latin American economies suggest that indirect linkages are also important for transmitting the negative effects of US-SFSSs. In general, US-SFSSs act as a crucial driver of volatility in the emerging world; also at business cycle frequencies.