文章基本信息

标题：Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
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作者：Alexander Chudik ; Marcel Fratzscher
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the 􀀟nancial crisis. Dealing with identi􀀟cation and the large dimensionality of the empirical exercise with a Global VAR approach, the 􀀟ndings highlight the diversity of the transmission process. While liquidity shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that a􀀞ected emerging market economies. The tightening of 􀀟nancial conditions was a key transmission channel for advanced economies, whereas for emerging markets it was mainly the real side of the economy that su􀀞ered. Moreover, there are some striking di􀀞erences also within types of economies, with Europe being more adversely a􀀞ected by the fall in risk appetite than other advanced economies.
关键词：Liquidity; risk; 􀀟nancial crisis; global transmission; global VAR (GVAR);shocks; modelling; US; advanced economies; emerging market economies.