In the shadow of the United States: the international transmission effect of asset returns
Nan-Kuang Chen (),
Kuang-Liang Chang and
Charles Leung ()
No 121, Globalization Institute Working Papers from Federal Reserve Bank of Dallas
We examine how the fluctuations in financial and housing markets in U.S. affect the asset returns and GDP in Hong Kong. In contrast to the results from linear specifications, which concludes that the U.S. and Hong Kong are virtually delinked in terms of the asset markets, our regime-switching models indicate that the unexpected shock of US stock returns, followed by the TED spread, has the most significant effect on HK asset returns and GDP, typically in the regime with high return and low volatility. For the in-sample one-step-ahead forecasting, US Term spread stands out to be the best predictor.
JEL-codes: F40 E30 G10 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2012, Revised 2012
Note: Published as: Chang, Kuang-Liang, Nan-Kuang Chen and Charles Ka Yui Leung (2013), "In the Shadow of the United States: The International Transmission Effect of Asset Returns," Pacific Economic Review 18 (1): 1-40.
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Journal Article: In the Shadow of the U nited S tates: The International Transmission Effect of Asset Returns (2013)
Working Paper: In the Shadow of the United States: The International Transmission Effect of Asset Returns (2011)
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