International Financial Transmission: Emerging and Mature Markets
32 Pages Posted: 5 Mar 2007
Date Written: March 2007
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: Suggested Citation