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首页> 外文期刊>Journal of Financial Economic Policy >Essay on spillovers from advanced economics (AE) to emerging economics (EM) during the global financial crisis
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Essay on spillovers from advanced economics (AE) to emerging economics (EM) during the global financial crisis

机译：关于全球金融危机期间从先进经济学（AE）向新兴经济学（EM）溢出的论文

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Purpose - The purpose of this paper is to estimate the bond market linkages between emerging markets (EM) and advanced markets (AM) yields by estimating yield equations for EMs as a function of AM yields and illustrating the quantitative macroeconomic effects on EMs of global yield shocks in a multi-country dynamic stochastic general equilibrium modeling model. Design/methodology/approach - The research used a monthly sample of 45 advanced and EM economies covering the period 1998Q1 to 2010Q6. In this paper, the authors have shown that, indeed, there is a spillover effect from AD to EM countries and that most transmission channels, although they vary in significance, are all economically relevant The main results of the paper underline the importance of international spillover across countries in the financial market The strongest international transmission of shocks to EM is from the USA and the UK. Findings - The authors find evidence that shocks in the volatility index and commodity fuels have a positive and significant impact on EM bond yield. Moreover, shocks in three-month US treasury bills, credit default swap, the London gold price and the Brent petrol price have a significant negative impact on EM bond yield. Finally, the result shows that global external shocks are found to be significant in determining bond yield and causing spillover into the EM. Originality/value - These findings are especially important for policy makers in understanding the transmission of shocks in the bond market across different countries, as well as for risk management.
机译：目的-本文的目的是通过估计作为AM收益函数的EM的收益率方程，并说明对全球收益的EM的定量宏观经济影响，从而评估新兴市场（EM）和先进市场（AM）收益之间的债券市场联系。多国动态随机一般均衡建模模型中的冲击。设计/方法/方法-研究使用了1998年1季度至2010年6季度期间的45个发达和新兴经济体的每月样本。在本文中，作者表明，确实存在从AD到新兴市场国家的溢出效应，并且大多数传输渠道尽管意义各异，但在经济上都是相关的。本文的主要结果强调了国际溢出效应的重要性。金融市场上各个国家之间新兴市场对新兴市场的冲击最大的国际传播是来自美国和英国。研究结果-作者发现证据表明，波动率指数和商品燃料的冲击对新兴市场债券收益率产生了积极而重大的影响。此外，三个月美国国库券，信用违约掉期，伦敦金价格和布伦特汽油价格的冲击对新兴市场债券收益率产生了重大负面影响。最后，结果表明，发现整体外部冲击在确定债券收益率和导致向新兴市场溢出方面具有重要意义。原创性/价值-这些发现对于决策者了解各国债券市场冲击的传递以及风险管理特别重要。

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