International Financial Transmission: Emerging and Mature Markets

32 Pages Posted: 5 Mar 2007

See all articles by Guillermo Felices

Guillermo Felices

Bank of England - Monetary Analysis

Christian Grisse

Federal Reserve Bank of New York

Jing Yang

Bank of England

Multiple version iconThere are 2 versions of this paper

Date Written: March 2007

Abstract

With an increasingly integrated global financial system, we frequently observe that shocks to individual asset markets affect financial markets worldwide. The aim of this paper is to quantify the comovement between bond markets in the US and emerging market economies. Following Rigobon (2003), we exploit the changing volatility of the data to fully identify a structural VAR, without imposing ad-hoc restrictions. Our results yield some new insights into how shocks are transmitted across international financial markets.

Keywords: international financial markets, flight to quality, identification through heteroskedasticity

JEL Classification: F30, G15, C32

Suggested Citation

Felices, Guillermo and Grisse, Christian and Yang, Jing, International Financial Transmission: Emerging and Mature Markets (March 2007). Available at SSRN: https://ssrn.com/abstract=968227 or http://dx.doi.org/10.2139/ssrn.968227

Guillermo Felices

Bank of England - Monetary Analysis ( email )

Threadneedle Street
London EC2R 8AH
United Kingdom

Christian Grisse (Contact Author)

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

HOME PAGE: http://nyfedeconomists.org/grisse/

Jing Yang

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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