Revealing the effects of ill global eco-financial systems and their capsules

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dc.contributor.authorMengesha, Lula G.
dc.contributor.authorDuppati, Geeta Rani
dc.contributor.authorDeo, Sukh
dc.date.accessioned2013-09-11T02:09:20Z
dc.date.available2013-09-11T02:09:20Z
dc.date.issued2012-12
dc.description.abstractThis paper examines the origins of the global crisis, the impact of the crisis and the different capsules taken to address the crisis. Using daily data from mid-July 2002 to mid-July 2012 for five groups of economies, our estimation is based on BEKK diagonal GARCH. We augmented two dummy variables to represent the U.S. financial crisis and the debt crisis of Greece. We find that the U.S crisis has insignificant impact on the mean returns of all the economies except the African economies. The U.S. financial crisis, however, has positive and significant impact on the stock volatilities of all the groups except the African economies. The debt crisis of Greece, on the other hand, has negative and significant impact on the mean returns of the European and Latin American economies. Its impact on the stock volatilities, however, is positive and significant in all the economies except the African economies. In examining the origins of the crisis, we identify that excessive reliance of the U.S. economy on the credit system and on the stock market together with historic negligence of the production sector and inadequate regulation are some causative factors.en_NZ
dc.format.mimetypeapplication/pdf
dc.identifier.citationMengesha, L.G., Duppati, G.R., & Deo, S. (2012). Revealing the effects of ill global eco-financial systems and their capsules. Journal of International and Global Economic Studies, 5(2), 1-23.en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/7987
dc.language.isoenen_NZ
dc.publisherInstitute of International Economic Studiesen_NZ
dc.relation.isPartOfJournal of International and Global Economic Studiesen_NZ
dc.relation.urihttp://www2.southeastern.edu/orgs/econjournal/index_files/JIGES%20DEC%202012%20LULA%20MENGESHA%20V6%203-30-2013.pdfen_NZ
dc.rightsThis article has been published in the Journal of International and Global Economic Studies. Used with permission.en_NZ
dc.subjectglobal financial crisisen_NZ
dc.subjectsubprime mortgageen_NZ
dc.subjectstock market returnen_NZ
dc.subjectstock volatilityen_NZ
dc.titleRevealing the effects of ill global eco-financial systems and their capsulesen_NZ
dc.typeJournal Articleen_NZ
pubs.begin-page1en_NZ
pubs.elements-id38470
pubs.end-page23en_NZ
pubs.issue2en_NZ
pubs.volume5en_NZ
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