Global Financial Risk, Equity Returns and Economic Activity in Emerging Countries
研究全球金融风险冲击对新兴市场经济体的影响，发现风险升高会提高借贷成本、降低股票回报并抑制经济活动，且主要通过股票回报而非国家利差传导。
Abstract International financial integration exposes countries to external shocks. This paper identifies the impact and transmission of global financial risk (GFR) shocks to emerging market economies (EMEs). Heightened GFR significantly raises EME borrowing costs and lowers equity returns, reducing domestic economic activity. We document a novel transmission channel of GFR shocks to EMEs via international capital flows. Countries experiencing larger capital inflows are more affected by GFR fluctuations. Exploring the transmission through capital flows, GFR shocks affect EMEs mainly through their effect on equity returns, instead of country spreads. We show that equity returns contain more information about EME macroeconomic fluctuations than sovereign and corporate bond spreads.