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

• Ano de defesa: 2014
• Autor(a) principal: Rocha, Beatriz de Sousa
• Orientador(a): Marçal, Emerson Fernandes
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Emerging markets; Financial crisis; Factor model; Capital flows; Modelo de interdependência
• Link de acesso: http://hdl.handle.net/10438/13507

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.