Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission
- Topics:
- Investment and Capital Markets
- Tags:
- Asset,
- Operational Planning,
- Financial Market,
- Financial Accounting,
- Financial,
- Finance,
- Business Operations,
- Bond,
- Asset Price,
- Asset Management,
- ...
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Overview: The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. It finds that asset prices react strongest to other domestic asset price shocks, and that there are also substantial international spillovers, both within and across asset classes. The results underline the dominance of US markets as the main driver of global financial markets: US financial markets explain, on average, more than 25% of movements in euro area financial markets, whereas euro area markets account only for about 8% of US asset price changes.
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Format: PDF | Size: 658KB | Date: Mar 2005 | Pages: 41
