文章基本信息

标题：The transmission of emerging market shocks to global equity markets
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作者：Lucía Cuadro Sáez ; Marcel Fratzscher y Christian Thimann
期刊名称：Documentos de Trabajo / Banco de España
印刷版ISSN：0213-2710
电子版ISSN：1579-8666
出版年度：2007
卷号：1
出版社：Banco de España
摘要：The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 EMEs, we find that EME shocks not only have a statistically but also economically significant impact on global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent effects over time. Importantly, EMEs are found to influence global equity markets about just as much in "good" times as in "bad" times, i.e. during crises or periods of financial turbulence. Finally, we detect a large degree of heterogeneity in the transmission of EME shocks to individual countries' equity markets, stressing the different degrees of financial exposure, which is relatively higher for European equity markets.