Financial markets in time of stress

Carmen Reinhart and Graciela Kaminsky ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: contagion; financial; crisis; equity; prices; interest; rates; exchange; rates (search for similar items in EconPapers)
JEL-codes: F30 F41 F42 (search for similar items in EconPapers)
Date: 2002-12
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Citations: View citations in EconPapers (16)

Published in Journal of Development Economics 2.69(2002): pp. 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 Times of Stress (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:13869

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