International transmission of financial stress: Evidence from a GVAR
作者： Björn van Roye , Jonas Dovern
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摘要: We analyze the international transmission of nancial stress and its effects on economic activity. construct country specic monthly indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. show that there is a strong co-movement FSI during crises nancially open countries are relatively more correlated to in other Subsequently, we investigate impact activity Global VAR (GVAR) model. i)
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