International spillovers in global asset markets

Ansgar Belke and Irina Dubova

No 696, Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen

Abstract: The paper empirically estimates the financial transmission between bond and equity markets within and across 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 connected 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 strongest 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 the bilateral relationships change over time. Our results are robust to specifications which 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: 2017
New Economics Papers: this item is included in nep-fmk and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/162059/1/889787905.pdf (application/pdf)

Related works:
Journal Article: International spillovers in global asset markets (2018)
Working Paper: International spillovers in global asset markets (2017)
Working Paper: International spillovers in global asset markets (2017)
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:zbw:rwirep:696

DOI: 10.4419/86788810

Access Statistics for this paper

More papers in Ruhr Economic Papers from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().