Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? /

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly than...

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Dettagli Bibliografici
Autore principale: Bayoumi, Tamim
Altri autori: Bui, Trung
Natura: Periodico
Lingua:English
Pubblicazione: Washington, D.C. : International Monetary Fund, 2012.
Serie:IMF Working Papers; Working Paper ; No. 2012/298
Accesso online:Full text available on IMF