Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission

Michael Ehrmann, Marcel Fratzscher and Roberto Rigobon

No 11166, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and that there are also substantial international spillovers, both within and across asset classes. The results underline the dominance of US markets as the main driver of global financial markets: US financial markets explain, on average, more than 25% of movements in euro area financial markets, whereas euro area markets account only for about 8% of US asset price changes. The international propagation of shocks is strengthened in times of recession, and has most likely changed in recent years: prior to EMU, the paper finds smaller international spillovers.

JEL-codes: C5 E44 F3 (search for similar items in EconPapers)
Date: 2005-03
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-eec, nep-fin, nep-his, nep-ifn, nep-mac, nep-mon and nep-sea
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (91)

Published as Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.

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Journal Article: Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2011)
Working Paper: Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2005)
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