19 June 2013

International Transmission of Financial Stress

Evidence from a GVAR

This paper analyzes the international transmission of financial stress and its effects on economic activity. The authors construct monthly specific financial stress indexes (FSI) for 20 countries, before using a Global VAR (GVAR) model to examine the international transmission of financial stress. They conclude that financial stress is rapidly transmitted internationally and has a persistent negative effect on economic activity, however economic slowdowns only induce limited financial stress.

Download: