Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297971 
Year of Publication: 
2024
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 24 [Issue:] 1 [Article No.:] 100149 [Year:] 2024 [Pages:] 1-24
Publisher: 
Elsevier, Amsterdam
Abstract: 
In this study, we examine stock market shocks using a Global Vector Autoregressive (GVAR) model encompassing 26 countries from January 1999 to June 2022. Our findings reveal that i) shocks originating from advanced economies (AD) exhibit greater persistence in generating fluctuations compared to shocks from emerging market economies (EME); ii) negative stock market shocks are associated with devaluations of domestic currencies, endogenous responses of monetary policy, and global recession. Our estimates suggest that stock market fluctuations have significant potential to destabilize international markets, with contagion spreading rapidly. Our approach contributes to existing literature by constructing a comprehensive model of the world economy, simulating aggregate shocks, and assessing the relevance of global shocks based on the level of economic development.
Subjects: 
Stock market
Fluctuation
Emerging economies
Advanced economies
Bilateral trade
JEL: 
G17
E32
E44
F37
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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