Финансовое заражение: трансграничное распространение системного риска

Abstract

The article studies financial shock transmission mechanisms and cross-country  linkages that make it possible. Given increased interconnections around the globe  there is general agreement that in recent time financial system has become much more  vulnerable to exogenous shocks. The main channels of transmission are trade and  financial linkages among nations. The former are more traditional for developing  countries while the latter – for developed markets. The appetite of global investors  to risk, the level of uncertainty and information asymmetry in the global financial  market are also important factors which can influence the magnitude of shock  transmission. The article gives an overview of different methods to calculate the  risks of financial shock transmission across countries including correlation and  volatility analysis, contingent claims analysis, econometric models with a global  factor and different types of VAR (VEC). Using the method of forecast error variance  decomposition from a vector auto regression, first proposed by F. Diebold and K.  Yilmaz to analyze stock markets interconnectedness, the author quantifies directions  of financial shock spillovers in equity, government bond and real estate markets.  This methodology was applied to 10 countries. It was found that US, Germany and  France are the major transmitters of shocks to other countries. The results point to  a slight difference in the magnitude of transmission in different sectors: stock  markets tend to suffer more from spillover effects while government bond markets are  more sensitive to internal factors of instability. The article also discusses various  approaches to global systemic risk modeling which is a new area of research in recent  time. Regulatory reforms which began in the post-crisis period are considered to be a  necessary condition to decrease the intensity of financial shocks transmission.  Taking into account how fast the shocks spillover across countries, recovery from the  recession requires in the first place coordinated policy actions among governments.