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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| Format: | Book |
| Language: | English |
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Washington, D.C. :
International Monetary Fund,
2012
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| Series: | IMF Working Papers ;
Working Paper No. 12/298 IMF eLibrary |
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