Asian financial linkage: macro-finance dissonance

Ippei Fujiwara and Koji Takahashi

No 92, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activities? In order to answer these questions, we estimate the spillover index proposed by Diebold and Yilmaz (2009) and gauge the degree of interactions in both financial markets and real economic activities among Asian economies.> ; We first show that the degree of the international spillover in stock markets is like cookie-cutter products, namely, uniform, irrespective of the groups of countries, such as G3, NIEs and ASEAN4. This suggests the importance of the globally common shock in stock markets. We, then, discuss the macro-finance dissonance. In stock and bond markets, the US has been the main driver of fluctuations. Regarding real economic activities, China has emerged as an important source of fluctuations.

JEL-codes: C58 E44 G12 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011
New Economics Papers: this item is included in nep-sea
Note: Published as: Fujiwara, Ippei and Koji Takahashi (2012), "Asian Financial Linkage: Macro-Finance Dissonance," Pacific Economic Review 17 (1): 136-159.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.dallasfed.org/-/media/documents/resear ... papers/2011/0092.pdf Full text (application/pdf)

Related works:
Journal Article: ASIAN FINANCIAL LINKAGE: MACRO‐FINANCE DISSONANCE (2012)
Working Paper: Asian Financial Linkage: Macro-Finance Dissonance (2011)
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:fip:feddgw:92

Access Statistics for this paper

More papers in Globalization Institute Working Papers from Federal Reserve Bank of Dallas Contact information at EDIRC.
Bibliographic data for series maintained by Amy Chapman ().