The influence of the global crisis on the slowdown of the emerging markets

• Autor(a) principal: Rocha, Beatriz de Sousa
• Data de Publicação: 2014
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/13507
• topic: Emerging markets; Financial crisis; Factor model; Capital flows; Modelo de interdependência; Economia; Dívida pública; Crise financeira; Fluxo de capitais

This paper investigates the empirical relationship between the 2007-2009 financial crisis, the 2010-2012 sovereign debt crisis and the recent emerging equity markets slowdown. The exposure of the emerging markets to the crisis of the developed markets is quantified using an interdependence factor model. The results show that emerging markets did suffer a shock from both crisis, yet they recovered while the developed markets were still struggling. After the sovereign debt crisis emerging markets slowed down synchronized with the developed market’s recovery. The paper further analyses whether capital flows explain the connection between these two events, finding this relationship exists.