U.S. Credit Spread and Global Stock Markets
University of Maryland, Eastern Shore - School of Business and Technology; University of Maryland, College Park
January 12, 2014
Based theoretically and empirically on the international transmission and spill-over, this study is set up to examine how returns on three groups (developed, emerging and frontier) of global stock markets respond to the U.S. credit spread shock. The Granger-causality is computed to determine the causal linkage between the U.S. credit spread and returns on the global stock market. The generalized impulse response functions and variance decomposition are also estimated.
Keywords: credit spread, global stock markets
JEL Classification: G12, G14working papers series
Date posted: January 12, 2014
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