Impact of financial stress in advanced and emerging economies

IF 2.3 Q2 ECONOMICS

Journal of Economics, Finance and Administrative Science Pub Date : 2022-03-08 DOI:10.1108/jefas-05-2021-0063

Flavio Cesar Valerio Roncagliolo, Ricardo Norberto Villamonte Blas

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引用次数: 3

Abstract

PurposeThe purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies.Design/methodology/approachThe authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy.FindingsThe impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance of financial stress measures in the context of macro-prudential regulation.Originality/valueThe results can be extended to monetary policy to implement measures that mitigate the impact of future financial crises.

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金融压力对发达和新兴经济体的影响

本文的目的是研究发达经济体和新兴经济体金融压力影响的差异。设计/方法/方法作者采用面板向量自回归模型(PVAR)对14个发达经济体和新兴经济体的金融压力、经济增长和货币稳定之间的关系进行比较分析。我们构建了一个衡量金融压力的同质指标，并将其作为一个指数来衡量，该指数提供了一个经济体中压力事件的信号。金融压力冲击对发达经济体经济增长的影响更大;同样，金融压力冲击仅在发达经济体中具有重大意义。银行间利率受到新兴经济体金融压力的负面影响。总的来说，研究结果清楚地显示了金融稳定的重要性以及宏观审慎监管背景下金融压力措施的经济相关性。其结果可以扩展到货币政策，以实施减轻未来金融危机影响的措施。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Economics, Finance and Administrative Science Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

5.10

自引率

20.80%

发文量

审稿时长

12 weeks

期刊介绍： The Universidad ESAN, with more than 50 years of experience in the higher education field and post graduate studies, desires to contribute to the academic community with the most outstanding pieces of research. We gratefully welcome suggestions and contributions from business areas such as operations, supply chain, economics, finance and administration. We publish twice a year, six articles for each issue.