Interdependence and Contagion in Global Asset Markets

被引：32
|
作者：
Beirne, John [2 ]
Gieck, Jana [1 ]
机构：
[1] Int Monetary Fund, Western Hemisphere Dept, Washington, DC 20431 USA
[2] European Cent Bank, D-60311 Frankfurt, Germany
来源：
REVIEW OF INTERNATIONAL ECONOMICS | 2014年 / 22卷 / 04期
关键词：
MONETARY-POLICY; STOCK; LINKAGES;
D O I：
10.1111/roie.12116
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We assess interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998-2011. Using a global VAR, we test for changes in the transmission mechanism-both within and cross-market changes-during periods of global financial turbulence. Contagion effects within-market are notable in Latin American and Emerging Asian equities. In addition, in times of financial crisis, we find that US equity shocks lead to risk aversion by investors in equities and currencies globally and in some emerging market bonds. Euro area shocks are significant mainly within the bond market.
引用
收藏
页码：639 / 659
页数：21
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