Financial Markets in Times of Stress

Graciela Kaminsky () and Carmen Reinhart

No 8569, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper, we examine which markets are most synchronized internationally and exhibit the greater extent of comovement. We focus on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. Our sample covers thirty-five developed and emerging market countries during 1997-1999. The extent of comovement and responsiveness to external shocks is examined in different ways. To measure the response of these markets to adverse external shocks, we date the peaks in domestic interest rates and bond spreads and the largest daily declines in equity prices and assess the extent of clustering around the same period. We also analyze which markets show evidence of greatest comovement in general, irrespective of whether there are adverse shocks or not.

JEL-codes: F30 F31 (search for similar items in EconPapers)
Date: 2001-10
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-pke
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Published as Kaminsky, Graciela L. and Carmen M. Reinhart. "Financial Markets In Times Of Stress," Journal of Development Economics, 2002, v69(2,Dec), 451-470.

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Related works:
Journal Article: Financial markets in times of stress (2002)
Working Paper: Financial turmoil: Systemic or regional? (2002)
Working Paper: Financial markets in time of stress (2002)
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