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|z 9781498365628
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|a 1018-5941
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|a Shinagawa, Yoko.
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|a Determinants of Financial Market Spillovers :
|b The Role of Portfolio Diversification, Trade, Home Bias, and Concentration /
|c Yoko Shinagawa.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2014.
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|a 1 online resource (24 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries' comovement of bond yields are large. Also, countries' geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2014/187
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2014/187/001.2014.issue-187-en.xml
|z IMF e-Library
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