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Author/Editor:
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Bayoumi, Tamim ; Bui, Trung
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Publication Date:
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December 20, 2012
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Electronic Access:
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Free Full text
(PDF file size is 2,300KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
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 shocks from other regions, including the Euro area, while inward spillovers to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of causality of contemporaneous correlations—an issue that other techniques cannot tackle—is the dominant source of uncertainty in the estimated impulse response functions.
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Order a print copy
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Series:
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Working Paper No. 12/298
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Subject(s):
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Spillovers | United States | Europe | Japan | United Kingdom | International capital markets | Bond markets | External shocks
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English
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Publication Date:
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December 20, 2012
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ISBN/ISSN:
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9781475586633/2227-8885
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Format:
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Paper
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Stock No:
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WPIEA2012298
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Pages:
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26
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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