Interdependence and contagion in global asset markets

John Beirne and Jana Bricco ('Gieck')

No 1480, Working Paper Series from European Central Bank

Abstract: This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism JEL Classification: F30, G15

Keywords: asset markets; contagion; global VAR (search for similar items in EconPapers)
Date: 2012-10
New Economics Papers: this item is included in nep-eec, nep-ifn and nep-opm
Note: 733190
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Interdependence and Contagion in Global Asset Markets (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20121480

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