期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：The paper analyses the transmission of liquidity shocks and risk shocks to global nancial markets. Using a Global VAR methodology, the ndings reveal fundamental di¤erences in the transmission strength and pattern between the 2007-08 nancial crisis and the 2010-11 sovereign debt crisis. Unlike in the former crisis, emerging market economies have become much more resilient to adverse shocks in 2010-11. Moreover, a ight-to-safety phenomenon across asset classes has become particularly strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The paper relates this evolving transmission pattern to portfolio choice decisions by investors and nds that countriessovereign rating, quality of institutions and their nancial exposure are determinants of cross-country di¤erences in the transmission.
关键词：global nancial crisis; sovereign debt crisis; liquidity; risk; capital ows; trans-;mission; high dimensional VARs; advanced economies; emerging market economies
