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Determinants of Financial Market Spillovers: The Role of Portfolio Diversification, Trade, Home Bias, and Concentration

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by Yoko Shinagawa
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Determinants of Financial Market Spillovers: The Role of Portfolio Diversification, Trade, Home Bias, and Concentration by Yoko Shinagawa

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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Ebook Details
Pages: 24
Size: 1.7 MB
Publisher: INTERNATIONAL MONETARY FUND
Date published:   2014
ISBN: 9781484351307 (DRM-EPUB)

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This product is listed in the following categories:

Nonfiction > Business & Economics > Economics
Nonfiction > Business & Economics > International > Economics
Nonfiction > Business & Economics > Economics > Macroeconomics

This author has products in the following categories:

Nonfiction > Business & Economics > Economics
Nonfiction > Business & Economics > International > Economics
Nonfiction > Business & Economics > Economics > Macroeconomics
Nonfiction > Business & Economics
Nonfiction > Business & Economics > Banks & Banking

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03/23/2017
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