Interdependence and Contagion in Global Asset Markets

21 Pages Posted: 6 Aug 2014

See all articles by John Beirne

John Beirne

European Central Bank (ECB)

Jana Gieck Bricco

International Monetary Fund (IMF); Goethe University Frankfurt - Faculty of Economics and Business Administration

Multiple version iconThere are 2 versions of this paper

Date Written: September 2014

Abstract

We assess interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998–2011. Using a global VAR, we test for changes in the transmission mechanism - both within and cross‐market changes - during periods of global financial turbulence. Contagion effects within‐market are notable in Latin American and Emerging Asian equities. In addition, in times of financial crisis, we find that US equity shocks lead to risk aversion by investors in equities and currencies globally and in some emerging market bonds. Euro area shocks are significant mainly within the bond market.

Suggested Citation

Beirne, John and Bricco, Jana, Interdependence and Contagion in Global Asset Markets (September 2014). Review of International Economics, Vol. 22, Issue 4, pp. 639-659, 2014. Available at SSRN: https://ssrn.com/abstract=2476695 or http://dx.doi.org/10.1111/roie.12116

John Beirne (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Jana Bricco

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Frankfurt
Germany

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