EconPapers    
Economics at your fingertips  
 

International spillovers in global asset markets

Ansgar Belke () and Irina Dubova

Economic Systems, 2018, vol. 42, issue 1, 3-17

Abstract: The paper empirically estimates the financial transmission within and across bond and equity markets in the four largest global financial markets – the United States, the Euro area, Japan, and the United Kingdom. We argue that international bond and equity markets are highly interconnected both within and across asset classes in a globalized world, where the complex transmission process across various financial assets is not restricted to just the domestic market. This paper employs identification through generalized forecast error variance decompositions to estimate spillovers across four systemic markets in a Vector Autoregression (VAR) framework. We find that asset prices react most strongly to international shocks within the same asset class, but that there are also substantial international spillovers across asset classes. Rolling estimations analysis provides evidence that global asset markets have become more integrated and that the bilateral relationships change over time. Our results are robust to specifications that take into account the monetary policy stance and include foreign exchange markets.

Keywords: Asset markets; Financial transmission; Financial market integration; Rolling estimations; Spillovers; Vector autoregression (search for similar items in EconPapers)
JEL-codes: E52 E58 F42 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0939362517301139
Full text for ScienceDirect subscribers only

Related works:
Working Paper: International spillovers in global asset markets (2017) Downloads
Working Paper: International spillovers in global asset markets (2017) Downloads
Working Paper: International spillovers in global asset markets (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:42:y:2018:i:1:p:3-17

Access Statistics for this article

Economic Systems is currently edited by R. Frensch

More articles in Economic Systems from Elsevier Contact information at EDIRC.
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-03-31
Handle: RePEc:eee:ecosys:v:42:y:2018:i:1:p:3-17