The evolution of Asian financial linkages : key determinants and the role of policy

Selim Elekdag, Phurichai Rungcharoenkitkul, and Yiqun Wu

This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as well as policies. In line with Asia's growing role in the global economy?including through deeper financial integration?regional financial markets have become more sensitive to systemic economies. Asian financial sensitivities to systemic economies exhibit cyclical fluctuations, and reached historically hi

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Year of publication:	2012
Authors:	Elekdaǧ, Selim Ali ; Phurichai Rungcharoenkitkul ; Wu, Yiqun
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Internationaler Finanzmarkt \| International financial market \| Asien \| Asia

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Extent:	Online-Ressource graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/262 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; Contents; I. Introduction; Figures; 1. Equity Returns: Selected Systemic Economies and Asia; II. Model and Estimation Framework; A. Approach I: Focusing on Cross-Sectional Variation; B. Approach II: A Deeper Investigation of Time Series Fluctuations; III. Results; Tables; 1. Pure and CAPM; 1. Non-Zero Expected Risk Premium; 2. Heterogeneous Expected Premium (Fixed Effects); 2. Asian Financial Betas and Global Financial Shocks; 3. Financial Betas across Asian Economies; 4. Contributions to Differences in Betas between 2008-2011 and 2002-2007 5. Contributions to Differences in Betas between 1997-2001 and 2002-20074. Determinants of Asian Financial Betas; 6. The Decomposition of Financial Betas across Asia over Time; 5. Nonlinear Effects of Reserves; IV. Conclusion; Appendix Table: Estimated Factor Loadings (Betas) Over the Full Sample; References Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-8868-2 ; 978-1-4755-8868-2
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009679040