Impact of financial stress in advanced and emerging economies

• Autores: Valerio Roncagliolo, Flavio César, Villamonte Blas, Ricardo Norberto
• Formato: artículo
• Fecha de Publicación: 2022
• Institución: Universidad ESAN
• Repositorio: ESAN-Institucional
• Lenguaje: inglés
• OAI Identifier: oai:repositorio.esan.edu.pe:20.500.12640/3014
• Enlace del recurso: https://revistas.esan.edu.pe/index.php/jefas/article/view/599; https://hdl.handle.net/20.500.12640/3014; https://doi.org/10.1108/JEFAS-05-2021-0063
• Nivel de acceso: acceso abierto
• Materia: Economic growth; Inflation; Interest rate; Real estate market; Financial stress; PVAR; Crecimiento económico; Inflación; Tipo de interés; Mercado inmobiliario; Estrés financiero; https://purl.org/pe-repo/ocde/ford#5.02.04

Purpose: The purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies. Design/methodology/approach: The 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. Findings: The 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/value: The results can be extended to monetary policy to implement measures that mitigate the impact of future financial crises.