UID:
edocfu_9958079472202883
Format:
1 online resource (27 p.)
ISBN:
1-4755-5520-2
,
1-4755-7957-8
,
1-299-46177-8
,
1-4755-1911-7
Series Statement:
IMF working paper ; WP/13/298
Content:
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of causality of contemporaneous correlations—an issue that other techniques cannot tackle—is the dominant source of uncertainty in the estimated impulse response functions.
Note:
Description based upon print version of record.
,
Cover; Contents; I. Introduction; II. Data; Figures; 1. Systemic Countries Financial Market Shares and Turnovers; 2. Government 10-Year Nominal Bond Yields; 3. Normalized Weekly Equity Indexes (End of 1999 = 100); III. Structural VAR Identification Methodology; Tables; 1. Correlations of Weekly Systemic-4 Financial Asset Returns; IV. Empirical Estimates of Systemic Countries Financial Markets' Linkages; 4. High/Low Volatility Regimes at Min/Max Thresholds; A. A-Inverse Matrix Estimates; 2. Contemporaneous Spillovers: Systemic Countries Bond Markets
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3. Contemporaneous Spillovers: Systemic Countries Equity MarketsB. Estimated Impulse Responses; 5. Cumulative Impulse Responses with 90-percent confidence intervals - Bond Yields; 6. Cumulative Impulse Responses with 90-percent confidence intervals - Equity; V. Conclusions; 4. Variance Decomposition of Bond Yields; 5. Variance Decomposition of Equity Market Returns; A1. Bond Markets: Cumulative IRFs without Uncertainty in A Matrix; A2. Bond Markets: Cumulative IRFs with Uncertainty in A Matrix Estimation; Appendix; A3. Equity Markets: Cumulative IRFs without Uncertainty in A Matrix
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A4. Equity Markets: Cumulative IRFs with Uncertainty in A matrixAppendix Tables; A1. Robustness Check: A-Inverse with Random Walk Specification; A2. Robustness Check: Alternative Sample 2000-07; A3. Robustness Check: Alternative Sample 2000-October 5, 2012; References
,
English
Additional Edition:
ISBN 1-4755-8663-9
Language:
English
