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Interdependence and Contagion in Global Asset Markets
Author(s) -
Beirne John,
Gieck Jana
Publication year - 2014
Publication title -
review of international economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.513
H-Index - 58
eISSN - 1467-9396
pISSN - 0965-7576
DOI - 10.1111/roie.12116
Subject(s) - economics , bond , monetary economics , equity (law) , financial contagion , financial economics , financial market , bond market , financial crisis , asset (computer security) , finance , macroeconomics , computer security , political science , computer science , law
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 L atin A merican and E merging A sian 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.