Financial Stress Transmission from Developed to Emerging Countries

• Název v anglickém jazyce: Financial Stress Transmission from Developed to Emerging Countries
• Klíčová slova: Financial Stress Index, Developed Economies, Emerging Economies, Financial Crisis, SVAR, Small Open Economy.
• Klíčová slova anglicky: Financial Stress Index, Developed Economies, Emerging Economies, Financial Crisis, SVAR, Small Open Economy.
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Roman Horváth, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 02.06.2011
• Datum zadání: 02.06.2011
• Datum a čas obhajoby: 30.01.2013 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 06.01.2013
• Datum proběhlé obhajoby: 30.01.2013
• Oponenti: doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.

Seznam odborné literatury

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Balakrishnan, R., Danninger, S., Elekdag, S., & Tytell, I. (June 2009). "The Transmission of Financial Stress from Advanced to Emerging Economies". IMF Working Paper/09/133.
Barrell, R., & Davis, E. (2008). "The Evolution of the Financial Crisis of 2007-8". National Institute Economic Review.
Bhatia, A. V. (2007). "New Landscape, New Challenges: Structural Change and Regulation in the U.S. Financial Sector". IMF Working Paper.
Cardarelli, R., Elekdag, S., & Lall, S. (May 2009). "Financial Stress, Downturns, and Recoveries". IMF WP/09/100.
Claessens, S., Dell'Ariccia, G., Igan, D., & Laeven, L. (2010). "Cross-country Experiences and Policy Implications from The Global Financial Crisis". Economic Policy, 267-293.
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Frank, N., & Hesse, H. (2009). "Financial Spillovers to Emerging Markets During the Global Financial Crisis". IMF Working Paper.
Grimaldi, M. B. (June 2010). "Detecting and Interpreting Financial Stress in The Euro Area". ECB WP No 1214.
Hakkio, C. S., & Keeton, W. R. (2009). "Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?". Federal Reserve Bank of Kansas City.
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Předběžná náplň práce

In this research we have analyzed the financial system as it is today, describing the implications financial innovation had and the impact of the recent financial crisis. We tried to understand the nature of the financial stress and its measures. In the context of world financial integration it was also necessary to have a review upon the financial stress transmission channels from developed to emerging countries, determining the linkages and their measures. We employed a structural VAR model to determine whether there is empirical proof of financial Stress transmission from developed to emerging countries and see if financial integration represents the decisive factor in financial stress transmission. Our results suggest that there is a significant impact of financial stress in developed countries on the output of emerging ones. However we can observe an increasing influence of country-specific factors in explaining the variation in the rest of the variable of our model. The results also indicate the level of international financial integration being an important condition for the financial stress transmission.

Předběžná náplň práce v anglickém jazyce

In this research we have analyzed the financial system as it is today, describing the implications financial innovation had and the impact of the recent financial crisis. We tried to understand the nature of the financial stress and its measures. In the context of world financial integration it was also necessary to have a review upon the financial stress transmission channels from developed to emerging countries, determining the linkages and their measures. We employed a structural VAR model to determine whether there is empirical proof of financial Stress transmission from developed to emerging countries and see if financial integration represents the decisive factor in financial stress transmission. Our results suggest that there is a significant impact of financial stress in developed countries on the output of emerging ones. However we can observe an increasing influence of country-specific factors in explaining the variation in the rest of the variable of our model. The results also indicate the level of international financial integration being an important condition for the financial stress transmission.