Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets

Vincent Bodart and P. Reding

Working Papers from Notre-Dame de la Paix, Sciences Economiques et Sociales

Abstract: The paper investigates the potential effects of the exchange rate regime on the conditional volatilities and international correlations on bond and stock markets. The analysis is essentially empirical. It focuses on the recent experience of the EMS, and examines the behavior of domestic daily returns on bond and stock markets with the objective of identifying whether there exists significant differences in the patterns of volatilities and international correlations between ERM and non-ERM countries and across alternative episodes of ERM exchange rate variability.

Keywords: EXCHANGE RATE; BONDS; STOCK MARKET (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1998
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Journal Article: Exchange rate regime, volatility and international correlations on bond and stock markets (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:nodapa:204

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