
Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? »
Journal Issue
Volume/Issue: 2012/298
Series: IMF Working Papers
Author(s): Tamim Bayoumi , and Trung Bui
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 20 December 2012
DOI: http://dx.doi.org/10.5089/9781475586633.001
ISBN: 9781475586633
Keywords: Identification, international financial linkages, bond, equity markets, bond yields, financial markets, Estimation, Time-Series Models, General,
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 su...