Reverse spillover: Evidence during emerging market financial turmoil in 2013–2014

Journal of International Financial Markets, Institutions and Money, 2015, vol. 38, issue C, 97-115

Abstract: As emerging market countries are more deeply integrated with the global economy, it is more likely that financial shocks in those countries can spill over into advanced economies, which we call “reverse spillover”. We examine whether emerging market financial turmoil in 2013–2014, caused mainly by the expectation of future US monetary policy tightening, created such spillover. Panel fixed-effects regression suggests that emerging market financial instability reduces portfolio fund flows to advanced economies and increases their sovereign CDS premia. In addition, Granger causality network analysis indicates that the influence of emerging market economies in the global financial network significantly increased during the period of interest.

Keywords: International spillover; Reverse spillover; Fund flows; Sovereign CDS premium; Granger causality network (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:38:y:2015:i:c:p:97-115

DOI: 10.1016/j.intfin.2015.05.016

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