| Description |
1 online resource (37 pages) |
| Series |
IMF working paper ; no. 13/156.
|
| Contents |
Cover; Contents; I. Introduction; FIGURES; Figure 1 -- Change in Bond Spreads during Global Financial Crisis (Sept-Dec 2008); Figure 2 -- Change in Stock Prices during Global Financial Crisis (Sept-Dec 2008); II. Model; III. Empirical Strategy and Variables; A. Empirical Models; B. Data; Returns; Global Factors; Transparency; Controls; IV. Results; A. Main Results; Bond Spreads; Equity Returns; Robustness and Additional Tests; B. Endogeneity; V. Conclusion; Appendix A -- Model Details and Proofs; Appendix B -- List of Countries Used in the Sample; References; TABLES |
|
Table 1 -- Correlations between Measures of Opacity, Risk, and LiquidityTable 2 -- Summary Statistics; Table 3 -- Global Shocks, Bond Returns and Transparency: Linear Effects; Table 4 -- Global Shocks, Bond Returns and Transparency: Asymmetric Effects; Table 5 -- Global Shocks, Stock Returns and Transparency: Linear Effects; Table 6 -- Global Shocks, Stock Returns, and Transparency: Asymmetric Effects; Table 7 -- Global Shocks, Stock Returns, Transparency, and Country Risk Ratings; Table 8 -- Global Shocks, Stock Returns, Transparency, and Market Liquidity |
|
Table 9 -- Granger Causality between Opacity and Volatility |
| Summary |
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 where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging markets react more strongly to signals from the developed market, the more opaque the emerging market is. The second contribution is empirical evidence for bond and equity markets in line with this prediction. Increasing the availability of information about public policies, improving accounting standards, and enhancing legal frameworks can help reduce the unpleasant side effects of financial globalization |
| Notes |
"July 2013." |
| Bibliography |
Includes bibliographical references |
| Subject |
Financial crises.
|
|
Business cycles.
|
|
Business cycles
|
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Financial crises
|
| Form |
Electronic book
|
| Author |
Gelos, Gaston
|
|
Melgar, Natalia
|
|
International Monetary Fund.
|
| ISBN |
1484360222 |
|
9781484360224 |
|
9781484397237 |
|
1484397231 |
|
