EconPapers    
Economics at your fingertips  
 

Developing countries' financial vulnerability to the euro crisis: An event study of equity and bond markets

Joshua Aizenman (), Yothin Jinjarak, Minsoo Lee () and Donghyun Park ()

No 18028, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The global crisis highlights the continued vulnerability of developing countries to shocks from advanced economies. Just a few years after the global crisis, the eurozone sovereign debt crisis has emerged as the single biggest threat to the global outlook. In this paper, we apply the event study methodology to gauge the scope for financial contagion from the EU to developing countries. More specifically, we estimate the responsiveness of equity and bond markets in developing countries to global crisis news and euro crisis news. Overall, we find that whereas global crisis news had a consistently negative effect on returns of equity and bond markets in developing countries, the effect of euro crisis news was more mixed and limited.

JEL-codes: F30 F32 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-ifn
Date: 2012-05
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
http://www.nber.org/papers/w18028.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:18028

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w18028

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-11-14
Handle: RePEc:nbr:nberwo:18028