international transmission of financial shocks

the case of Japan
  • 37 Pages
  • 3.13 MB
  • 4048 Downloads
  • English
by
Federal Reserve Bank of Boston , Boston
Bank capital -- Japan, Bank investments -- Japan, Banks and banking, Japanese -- United States, Risk management, Corporations, Japanese -- United States, Loans, Japanese -- United S
Statementby Joe Peek and Eric S. Rosengren.
SeriesWorking paper / Federal Reserve Bank of Boston -- no. 96-1., Working paper series (Federal Reserve Bank of Boston) -- no. 96-1.
ContributionsRosengren, Eric S.
The Physical Object
Pagination37, [13] p. :
ID Numbers
Open LibraryOL17793227M
OCLC/WorldCa34433476

The International Transmission of Financial Shocks: The Case of Japan By JOE PEEK AND ERIc S. ROSENGREN * The size of Japanese bank lending operations in the United States enables us to use U.S.

banking data to investigate the extent to which the sharp decline in Japanese stock prices was transmitted to the United States via U.S. branches of. Founded inthe NBER is a private, non-profit, non-partisan organization dedicated to conducting economic research and to disseminating research findings among academics, public policy makers, and business professionals.

International Transmission of Financial Shocks without Financial Integration Ohdoi, Ryoji Department of Industrial Engineering and Economics, Tokyo Institute of Technology December Online at MPRA Paper No.posted 14 Dec UTC.

Downloadable. One of the more dramatic financial events of the late s and early s was the surge in Japanese stock prices that was immediately followed by a very sharp decline of more than 50 percent. While the unprecedented fluctuations in Japanese stock prices were domestic financial shocks, the unique institutional characteristics of the Japanese economy produce a framework that is.

The International Transmission of Financial Shocks: The Case of Japan. American Economic Review, No 4, September 37 Pages Posted: 3 Jun Peek, Joe and Rosengren, Eric S., The International Transmission of Financial Shocks: The Case of Japan (September ).

American Economic Review, No 4, September Available at Cited by: Working Paper: The International Transmission of Financial Shocks: The Case of Japan () Working Paper: The international transmission of financial shocks: the case of Japan () This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text. The model includes 21 shocks in total; there is a currency depreciation risk shock which is common to both countries, and each country has 3 demand shocks (consumption, investment and government expenditure shocks), 1 productivity shock, 3 cost-push shocks (home-goods price, imported-goods price and wage shocks), and 3 financial shocks.

We study the changing international transmission of US financial shocks over the period Financial shocks are defined as unexpected changes of a financial conditions index (FCI) for the US, as recently proposed by Hatzius et al. We use a time-varying factor-augmented VAR (TV-FAVAR) international transmission of financial shocks book model the FCI jointly with a set of factors.

international transmission of shocks is quite limited. Specifically, there is no international transmission due to deleveraging. A negative productivity shock which leads to a fall in the value of assets in one country will cause financial institutions to sell some assets and reduce their debt exposure, but this does not affect other countries.

foreign financial shocks to the home economy. The model highlights the roleof openness to trade and the dynamics of the terms of trade in the international transmission mechanism of banking sector shocks Spillovers from foreign banking sector shocks are greater the more open the home economy is to trade and the less the terms.

Books Home Policy Research Working Papers On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios No Access Policy Research Working Papers 22 Jun Revised article published in American Economic Rev no.

4 (September ): One of the more dramatic financial events of the late s and early s was the surge in Japanese stock prices that was immediately followed by a very sharp decline of more than 50 percent.

This paper analyzes the transmission mechanism of banking sector shocks in an international real business cycle model with heterogeneous bank sizes. We examine to what extent the financial exposure of the banking sector affects the transmission of foreign banking sector shocks.

BibTeX @ARTICLE{Peek97theinternational, author = {Joe Peek and Eric S. Rosengren and Banking System and Donald D. Hester and Robert N.

Mccauley and Geoffrey Tootell}, title = {The international transmission of financial shocks: The case}, journal = {of Japan, The American Economic Review}, year = {}, pages = {}}. "On the international transmission of shocks: Micro-evidence from mutual fund portfolios," Journal of International Economics, Elsevier, vol.

88(2), pages citation courtesy of On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios, Claudio Raddatz, Sergio L.

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Schmukler. in Global Financial Crisis. Eickmeier, Sandra and Lemke, Wolfgang and Marcellino, Massimiliano, The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR ().

Bundesbank Series 1 Discussion Paper No. International Shock Transmission after the Lehman Brothers Collapse: Evidence from Syndicated Lending by Ralph De Haas and Neeltje Van Horen. Published in volumeissue 3, pages of American Economic Review, MayAbstract: After Lehman Brothers filed for bankruptcy in September On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios Claudio Raddatz Sergio L.

Schmukler* Abstract Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. We also explore various conditions under which the international transmission of financial shocks via internal capital markets in multinational banking is stronger, including the subsidiaries’ reliance on funds from their parent bank, the subsidiaries’ entry mode, and the capital account openness and banking market structure in host countries.

The characteristic feature of the recent global economic crisis is the speed and extent of the shock transmission. The development of cross-national production networks in recent years has significantly deepened the economic interdependency between countries, and a shock that occurs in one region can be swiftly and extensively transmitted to the rest of the globe.

The transmission of shocks in the global financial system has always been an important topic in international finance. With the globalization of financial markets and increasing capital flows across countries, the channels and the magnitude of transmission of shocks are evolving over time.

International Transmission of U.S. Monetary Policy Shocks: Evidence from Stock Prices JOHN AMMER John Ammer is a Senior Economist at the Division of International Finance, Board of Governors of the Federal Reserve System (E‐mail: @).

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Researchers, policymakers and commentators have long debated the patterns through which adverse shocks in a few markets may quickly spread to a range of apparently disconnected financial markets causing widespread losses and turmoil.

This book uses modern linear and non-linear econometric. markets’ financial stability (Rey, ; Rajan, ; Fischer, ). Consistent with these arguments, recent studies find significant evidence of international transmission of monetary policy through its effect on the supply of cross-border loans.

Using a VAR framework, Bruno and Shin (a) estimate that a contractionary shock. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion PapersC.E.P.R.

Discussion Papers. Manuel Arellano & Stephen Bond, " Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Oxford University.

This book examines the macroeconomic and regulatory impact of domestic and international shocks on the South African economy resulting from the financial crisis. It also assesses the impact of the US economy’s eventual recovery from the crisis and the prospect of higher US interest rates in future.

financial markets mainly when they experience financial crises, thus inducing an abrupt portfolio rebalancing that also affects investment decisions and thus returns in markets of mature economies. In fact, there is a large literature focusing on and indeed finding evidence for the international transmission of EME shocks and for.

Country Transparency and the Global Transmission of Financial Shocks. Prepared by. Luis Brandao-Marques, Gaston Gelos, and Natalia Melgar * JuO\ Abstract. This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers.

We provide a simple model. The international transmission effects of monetary policy shocks have been extensively ana-lyzed theoretically and empirically. From a theoretical perspective, international transmission effects of a foreign monetary policy shock, in our case the euro area, on a domestic economy are ambiguous.

International Transmission of Bank Liquidity Shocks loans to all Peruvian banks (e.g., UBS lending less to Citibank-Peru and less to Banco Wiese).

As a result, after the Russian default, bank-to-bank loans to domestically owned banks decrease by 61% but bank-to-bank loans to foreign-owned banks decrease by only 26%. International transmission and monetary policy cooperation we study the transmission of monetary policy shocks among the member countries using monthly data.

the effects of monetary policy. However, the financial spillovers from ECB monetary policy to US bond spreads, or to foreign equity markets, are found to be less impactful.The international transmission effects demonstrate that transmits a negative effect on real GDP and stock prices in the rest of G 7 countries.

The U.S.

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shocks also lead to a decline in the interest rates in all other countries, showing that other countries follow the U.S. policy of reducing interest rates after a trigger of the crisis in the U.S.convertible national currencies are used in international trade. Section 3 adapts the benchmark model by assuming that international trade is mediated by one of the national currencies.

It investigates the international transmission mechanism of monetary shocks under a flexible exchange rate system and a fixed exchange rate system, respectively.