Interdependence and Contagion in Global Asset Markets

John Beirne · Jana Bricco

71 citations0/0 files storedReview of International Economics

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

Abstract

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.

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References

1980Macroeconomics and Reality 1998Generalized impulse response analysis in linear multivariate models 1996Impulse response analysis in nonlinear multivariate models 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1979Manias, Panics, and Crashes: A History of Financial Crises 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?1990Correlations in Price Changes and Volatility across International Stock Markets 1989Transmission of Volatility Between Stock Markets

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