{
  "title": "Linkages Among Asset Markets in the United States: Tests in a Bivariate GARCH Framework",
  "publication": "IMF Working Papers, November 1, 1999",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/linkages-among-asset-markets-in-the-united-states-tests-in-a-bivariate-garch-framework-3337",
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  "summary": "This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of ano",
  "sections": [
    {
      "heading": "Model and methodology",
      "content": "- Develops a bivariate GARCH model that allows for time-varying conditional correlations.\n- Enables simultaneous testing of two Granger-causal linkages:\n  - The impact of return volatility in a market on intermarket correlation.\n  - The impact of return volatility in one market on the volatility of another.\n- Uses daily data from stock, bond, currency, and commodity markets in the United States.\n- Employs technical terminology and model features as in the source: conditional correlation, covariance matrix, cross-asset correlation, Granger causality, Logistic Exponential GARCH, spillover coefficient, volatility spillover."
    },
    {
      "heading": "Key findings",
      "content": "- Finds evidence of both forms of linkage (volatility → intermarket correlation; volatility in one market → volatility in another).\n- Conditional correlations are time-varying and exhibit considerable persistence.\n- The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987."
    },
    {
      "heading": "Implications and interpretation",
      "content": "- Demonstrates that volatility in one asset market can influence both cross-market correlations and volatility dynamics in other markets.\n- Time-varying conditional correlations are important for understanding episodes of market stress (example cited: stock market crash of 1987).\n- Results are relevant to analyses of spillovers across Currency markets, Securities markets, and Stock markets.\n\n---\n\n Content in this bundle\n\n- Linkages Among Asset Markets in the United States:  Tests in a Bivariate GARCH Framework - WP/99/158\n  - Linkages Among Asset Markets in the United States:  Tests in a Bivariate GARCH Framework - WP/99/158 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Linkages Among Asset Markets in the United States:  Tests in a Bivariate GARCH Framework - WP/99/158 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/linkages-among-asset-markets-in-the-united-states-tests-in-a-bivariate-garch-framework-3337"
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    "Authors: Parha Deb, Salim M. Darbar",
    "Published: November 1, 1999",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451857566.001",
    "Develops a bivariate GARCH model that allows for time-varying conditional correlations.",
    "Enables simultaneous testing of two Granger-causal linkages:",
    "Uses daily data from stock, bond, currency, and commodity markets in the United States.",
    "Employs technical terminology and model features as in the source: conditional correlation, covariance matrix, cross-asset correlation, Granger causality, Logistic Exponential GARCH, spillover coefficient, volatility spillover.",
    "Finds evidence of both forms of linkage (volatility → intermarket correlation; volatility in one market → volatility in another).",
    "Conditional correlations are time-varying and exhibit considerable persistence.",
    "The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.",
    "Demonstrates that volatility in one asset market can influence both cross-market correlations and volatility dynamics in other markets.",
    "Time-varying conditional correlations are important for understanding episodes of market stress (example cited: stock market crash of 1987).",
    "Results are relevant to analyses of spillovers across Currency markets, Securities markets, and Stock markets.",
    "**Linkages Among Asset Markets in the United States:  Tests in a Bivariate GARCH Framework - WP/99/158**"
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