Who Leads Financial Markets?

Enzo Weber

MPRA Paper from University Library of Munich, Germany

Abstract: The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and provides a solution to the simultaneity problem of identifying the contemporaneous impacts between the daily variables. Structural mean equations can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected spillovers in the reverse direction.

Keywords: Structural EGARCH; Financial Markets; United States; Euro Zone (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2007-04, Revised 2007-10
New Economics Papers: this item is included in nep-eec and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Who leads financial markets? (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:5099

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