Linkages Among Asset Markets In The United States
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Linkages Among Asset Markets In The United States
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Author : Mr.Salim M. Darbar
language : en
Publisher: International Monetary Fund
Release Date : 1999-11-01
Linkages Among Asset Markets In The United States written by Mr.Salim M. Darbar and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-11-01 with Business & Economics categories.
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.
Linkages In World Financial Markets
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Author : Carl Richard Neu
language : en
Publisher:
Release Date : 2011
Linkages In World Financial Markets written by Carl Richard Neu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with International economic integration categories.
There is a consensus that the full consequences of the crisis would probably take years to become manifest and just as long for scholars to tease out all the intertwined strands of causality. Two questions about the crisis, however, seemed amenable to immediate analysis: Had the crisis made any difference in the way that short-term movements in various financial markets are linked to each other? And had anything happened to the traditional position of U.S. markets in setting the pattern for movements in global financial markets? This paper is an early examination of these questions. There are, of course, many financial markets in the world and many possible linkages among them. We chose to begin this analysis with an examination of linkages among major equity markets, in the United States, the UK, and Japan. Similar analyses of other financial linkages are possible, and perhaps the findings of this research will raise additional questions and suggest additional analyses.
Linkages Among Asset Markets In The United States
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Author : Salim M. Darbar
language : en
Publisher:
Release Date : 1999
Linkages Among Asset Markets In The United States written by Salim M. Darbar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Causation categories.
Cryptic Connections
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Author : Tara Iyer
language : en
Publisher: International Monetary Fund
Release Date : 2022-01-11
Cryptic Connections written by Tara Iyer and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-11 with Business & Economics categories.
Crypto assets have emerged as an increasingly popular asset class among retail and institutional investors. Although initially considered a fringe asset class, their increased adoption across countries—in emerging markets, in particular—amid bouts of extreme price volatility has raised concerns about their potential financial stability implications. This note examines the extent to which crypto assets have moved to the mainstream by estimating the potential for spillovers between crypto and equity markets in the United States and in emerging markets using daily data on price volatility and returns. The analysis suggests that crypto and equity markets have become increasingly interconnected across economies over time. Spillovers from price volatility of the oldest and most popular crypto asset, Bitcoin, to the S&P 500 and MSCI emerging markets indices have increased by about 12-16 percentage points since the onset of the COVID-19 pandemic, while those from its returns have increased by about 8-10 percentage points. Spillovers from the most traded stablecoin, Tether, to these indices have also increased by about 4-6 percentage points. In absolute terms, spillovers from Bitcoin to global equity markets are significant, explaining about 14-18 percent of the variation in equity price volatility and 8-10 percent of the variation in equity returns. These findings suggest that close monitoring of crypto asset markets and the adoption of appropriate regulatory policies are warranted to mitigate potential financial stability risks.
Financial Linkages Between The U S And Latin America
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Author : Roberto Benelli
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2007-11-01
Financial Linkages Between The U S And Latin America written by Roberto Benelli and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Business & Economics categories.
Motivated by recent bursts of global financial market turbulence, this paper investigates the linkages between the financial markets in the United States and those of the seven largest Latin American economies, focusing on the impact of shocks originating in the U.S. stock, bond, and currency markets. After documenting that cross-country linkages were different in "tranquil" and "turbulent" times within our sample, we find that: (i) for stock markets, recent episodes of market turbulence stood out from preceding ones as they showed an increased sensitivity of Latin American markets to U.S. shocks, reversing a trend of weakening linkages; (ii) currency markets in Latin America exhibited a decrease in cross-market linkages with the U.S. during the last episodes of volatility, consistent with increased exchange rate flexibility in the region; and (iii) the external bond markets in Latin America remained on a trend of weakening linkages with U.S. corporate bonds, while they increased their sensitivity to movements in other emerging market bond markets.
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets
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Author : Otaviano Canuto
language : en
Publisher: World Bank Publications
Release Date : 2013-10-29
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets written by Otaviano Canuto and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-29 with Business & Economics categories.
This book deals with the challenges of macro financial linkages in the emerging markets.
Macro Financial Linkages In The Pacific Region
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Author : Akira Kohsaka
language : en
Publisher: Routledge
Release Date : 2015-03-05
Macro Financial Linkages In The Pacific Region written by Akira Kohsaka and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-05 with Business & Economics categories.
Growth perspectives in emerging market economies are increasingly dependent on international capital flows in recent decades because of their influences on business cycles. In fact, volatile international capital flows has been one of the main concerns for the macroeconomic policy authorities. Focusing on emerging economies in the Pacific region, this book reveals how they are different from those in other regions in terms of international macro-financial linkages to the global capital market and domestic financial development,. The book also discusses how these characteristics have interacted with their macroeconomic policy regimes and their macroeconomic performance throughout the two major international financial crises in the past more than two decades. It suggests facts that have strengthened the resilience of these emerging economies in the Pacific region against the global financial crisis along with the intensified intra-regional economic integration through trade and investment. The book also examines their macroeconomic management focusing on monetary policy regimes and suggests that their factual unorthodox policies with exchange rate management and capital controls have contributed to their resilience against the intrinsic volatility of the international capital market and financial flows.
Linkages In World Financial Markets
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Author : C. Richard Neu
language : en
Publisher: Rand Corporation
Release Date : 2011
Linkages In World Financial Markets written by C. Richard Neu and has been published by Rand Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This paper asks whether there has been any diminution in the traditional role of U.S. financial markets in leading movements in other financial markets. It examines daily movements in three major equity indexes, how daily changes in one market are correlated with immediately subsequent changes in the other two, and the size of movements in each market after a given change in the other markets before and after the onset of the crisis.
Who S Driving Whom Analyzing External And Intra Regional Linkages In The Americas
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Author : Mr.Jeronimo Zettelmeyer
language : en
Publisher: International Monetary Fund
Release Date : 2008-10-09
Who S Driving Whom Analyzing External And Intra Regional Linkages In The Americas written by Mr.Jeronimo Zettelmeyer and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-09 with Business & Economics categories.
In a global economy beset by concerns over a growth recession, financial volatility, and rising inflation, countries in the Western Hemisphere have been among the few bright spots in recent years. This has not come as a surprise to those following the significant progress achieved by many countries in recent years, both in macroeconomic management and on the structural and institutional front. Hence, there can be little doubt, as this book argues, that economic and financial linkages between Latin America, the United States, and other important regions of the world economy have undergone profound change.
The Journal Of Agricultural Economics Research
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Author :
language : en
Publisher:
Release Date : 1987
The Journal Of Agricultural Economics Research written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Agriculture categories.