Financial Spillovers in Asian Emerging Economies
Financial Spillovers in Asian Emerging Economies
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亚洲新兴经济体的金融溢出效应
DOI：
10.1162/adev_a_00142
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发表时间：
2020
影响因子：
1.5
通讯作者：
Tanaka Mariko
中科院分区：
文献类型：
--
作者：
Fukuda Shin-ichi;Tanaka Mariko
本文探讨了新兴亚洲和发达经济体之间的金融溢出效应， 主成分分析，以提取亚洲的共同冲击。我们首先调查库存 市场溢出效应，并发现来自新兴亚洲的溢出效应成为 在全球金融危机之后，然而，我们的行业分析显示， 增加的溢出效应可以归因于第一主成分（PC）， 制造业而不是金融业的第一台PC。这意味着 亚洲制造业在全球市场上的崛起在增强 股市溢出效应接下来，我们将研究短期和长期的双边溢出效应。 rates.在逐渐减少的时期，我们发现长期利率从第一次逐渐减少到第二次逐渐减少， PC在新兴亚洲向欧洲和美国转移。然而，这些溢出效应 比股票市场的溢出效应要小
This paper explores financial spillovers between emerging Asia and advanced economies using principal component analysis to extract common shocks in Asia. We first investigate stock market spillovers across the regions and find that spillovers from emerging Asia became significant after the global financial crisis. However, our industry-level analysis shows that the increased spillovers can be attributed to the first principal component (PC) in the manufacturing sector rather than to the first PC in the financial sector. This implies that the rise of the Asian manufacturing sector in the global market played a key role in enhancing the stock market spillovers. We next examine bilateral spillovers in short-term and long-term rates. In the tapering period, we find significant spillovers in long-term rates from the first PC in emerging Asia to Europe and the United States. However, these spillovers were much smaller than the stock market spillovers in magnitude.