Global bonding : do U.S. bond and equity spillovers dominate global financial markets? /

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Bibliographic Details
Author / Creator:	Bayoumi, Tamim A.
Imprint:	Washington, D.C. : International Monetary Fund, 2013.
Description:	1 online resource (25 pages :) : illustrations.
Language:	English
Series:	IMF working paper ; WP/13/298
Subject:	Capital market. Bond market. Bond market. Capital market.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12502054

Hidden Bibliographic Details
Other authors / contributors:	Bui, Trung.
ISBN:	9781475519112 9781475586633
Notes:	Includes bibliographical references.
Summary:	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.

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