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Cited by 369

The DOI matches its Crossref record; 47 of the 47 references it cites were found in a registry or an index.

Stocks, bonds, money markets and exchange rates: measuring international financial transmission

Ehrmann, Michael, Fratzscher, Marcel, Rigobon, Roberto·2011·Journal of Applied Econometrics
DOI 10.1002/jae.1173
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Abstract

Understanding the complexity of the financial transmission process across various assets—domestically as well as within and across asset classes—requires the simultaneous modeling of the various transmission channels in a single, comprehensive empirical framework. The paper estimates the financial transmission between money, bond and equity markets and exchange rates within and between the USA and the euro area. We find that asset prices react strongest to other domestic asset price shocks, but that there are also substantial international spillovers, both within and across asset classes. The results underline the dominance of US markets as the main driver of global financial markets: US financial markets explain, on average, around 30% of movements in euro area financial markets, whereas euro area markets account only for about 6% of US asset price changes. Moreover, the methodology allows us to identify indirect spillovers through other asset prices, which are found to increase substantially the international transmission of shocks within asset classes. Copyright © 2010 John Wiley & Sons, Ltd.

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Metadata

Authors
Ehrmann, M., Fratzscher, M., & Rigobon, R.
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
2010-03-30
Volume
26
Issue
6
Pages
948-974
ISSN
0883-7252 (ISSN-L)
DOI
10.1002/jae.1173
OpenAlex
W3123148453
Cited by
369
References
47
FWCI
25.44
Type
journal article
Language
en
Open access
closed

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