2007-2009 global finansal krizin sonuçları: Amerika Birleşik Devletleri kaynaklı yayılma etkisi

In this study diffusion of the global financial crisis is analysed. More spesifically, keeping the United States as the natural origin of the crisis its effect on emerging and advanced countries are examined. Using Vector Autoregression models it is found that both stock markets and financial stabilities are mostly influenced by the fluctuations in the U.S.. The empirical evidence in this study finds a strong evidence in contagion. We further extend the analysis towards the impulse responses and variance decompositions. The results are in line with the expectation. During this most severe global financial crisis, it is found that advanced countries has larger sensitiveness to US shocks compared to emerging countries. Our findings underline the importance of spillover effects and financial system interdependence.