Creative Destruction of Industries: Yokohama City in the Great Kanto Earthquake, 1923
Toshihiro Okubo () and
Eric Strobl ()
Additional contact information
Tetsuji Okazaki: Faculty of Economics, The University of Tokyo
No CIRJE-F-1051, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo
The purpose of this paper is to explore to what extent spillovers from Asian financial market shocks have risen during the past two decades. In the first part, we examine spillover effects in stock markets. Estimating the GVAR (Global Vector Autoregressive) model, we find that spillover effects from emerging Asia became large in the post GFC (Global Financial Crisis) period. However, we also find that most of the spillover effects were from shocks in manufacturing sector rather than from those in financial sector. This implies that the spillover effects increased in the post GFC period because of increased manufacturing sector's shocks in emerging Asia. In the second part, we examine spillover effects across different foreign exchange rates. As in the stock markets, spillover effects from emerging Asia became large in the foreign exchange markets in the post GFC period. In particular, our high frequency data analysis suggests that an exchange rate policy change by the PBC (the People's Bank of China) had positive spillover effects on the most of the advanced currencies in the post GFC period. The empirical results imply that the impact of Chinese shocks has been rising in the global financial markets.
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Journal Article: Creative Destruction of Industries: Yokohama City in the Great Kanto Earthquake, 1923 (2019)
Working Paper: Creative Destruction of Industries: Yokohama City in the Great Kanto Earthquake, 1923 (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2017cf1051
Access Statistics for this paper
More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().