The Resource Global bonding : do U.S. bond and equity spillovers dominate global financial markets?, prepared by Tamim Bayoumi and Trung Bui, (electronic resource)

Global bonding : do U.S. bond and equity spillovers dominate global financial markets?, prepared by Tamim Bayoumi and Trung Bui, (electronic resource)

Label
Global bonding : do U.S. bond and equity spillovers dominate global financial markets?
Title
Global bonding
Title remainder
do U.S. bond and equity spillovers dominate global financial markets?
Statement of responsibility
prepared by Tamim Bayoumi and Trung Bui
Creator
Contributor
Subject
Genre
Language
  • eng
  • eng
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
Member of
Cataloging source
MiAaPQ
http://library.link/vocab/creatorName
Bayoumi, Tamim A
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
HG4651
LC item number
.B39 2013
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Bui, Trung
Series statement
IMF working paper
Series volume
WP/13/298
http://library.link/vocab/subjectName
  • Capital market
  • Bond market
Label
Global bonding : do U.S. bond and equity spillovers dominate global financial markets?, prepared by Tamim Bayoumi and Trung Bui, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Cover; Contents; I. Introduction; II. Data; Figures; 1. Systemic Countries Financial Market Shares and Turnovers; 2. Government 10-Year Nominal Bond Yields; 3. Normalized Weekly Equity Indexes (End of 1999 = 100); III. Structural VAR Identification Methodology; Tables; 1. Correlations of Weekly Systemic-4 Financial Asset Returns; IV. Empirical Estimates of Systemic Countries Financial Markets' Linkages; 4. High/Low Volatility Regimes at Min/Max Thresholds; A. A-Inverse Matrix Estimates; 2. Contemporaneous Spillovers: Systemic Countries Bond Markets
  • 3. Contemporaneous Spillovers: Systemic Countries Equity MarketsB. Estimated Impulse Responses; 5. Cumulative Impulse Responses with 90-percent confidence intervals - Bond Yields; 6. Cumulative Impulse Responses with 90-percent confidence intervals - Equity; V. Conclusions; 4. Variance Decomposition of Bond Yields; 5. Variance Decomposition of Equity Market Returns; A1. Bond Markets: Cumulative IRFs without Uncertainty in A Matrix; A2. Bond Markets: Cumulative IRFs with Uncertainty in A Matrix Estimation; Appendix; A3. Equity Markets: Cumulative IRFs without Uncertainty in A Matrix
  • A4. Equity Markets: Cumulative IRFs with Uncertainty in A matrixAppendix Tables; A1. Robustness Check: A-Inverse with Random Walk Specification; A2. Robustness Check: Alternative Sample 2000-07; A3. Robustness Check: Alternative Sample 2000-October 5, 2012; References
Dimensions
unknown
Extent
1 online resource (27 p.)
Form of item
online
Isbn
9781475579574
Media category
computer
Media type code
  • c
Specific material designation
remote
System control number
  • (CKB)2550000001019173
  • (EBL)1587804
  • (SSID)ssj0001079408
  • (PQKBManifestationID)11586984
  • (PQKBTitleCode)TC0001079408
  • (PQKBWorkID)11065804
  • (PQKB)11202130
  • (MiAaPQ)EBC1587804
  • (EXLCZ)992550000001019173
Label
Global bonding : do U.S. bond and equity spillovers dominate global financial markets?, prepared by Tamim Bayoumi and Trung Bui, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Cover; Contents; I. Introduction; II. Data; Figures; 1. Systemic Countries Financial Market Shares and Turnovers; 2. Government 10-Year Nominal Bond Yields; 3. Normalized Weekly Equity Indexes (End of 1999 = 100); III. Structural VAR Identification Methodology; Tables; 1. Correlations of Weekly Systemic-4 Financial Asset Returns; IV. Empirical Estimates of Systemic Countries Financial Markets' Linkages; 4. High/Low Volatility Regimes at Min/Max Thresholds; A. A-Inverse Matrix Estimates; 2. Contemporaneous Spillovers: Systemic Countries Bond Markets
  • 3. Contemporaneous Spillovers: Systemic Countries Equity MarketsB. Estimated Impulse Responses; 5. Cumulative Impulse Responses with 90-percent confidence intervals - Bond Yields; 6. Cumulative Impulse Responses with 90-percent confidence intervals - Equity; V. Conclusions; 4. Variance Decomposition of Bond Yields; 5. Variance Decomposition of Equity Market Returns; A1. Bond Markets: Cumulative IRFs without Uncertainty in A Matrix; A2. Bond Markets: Cumulative IRFs with Uncertainty in A Matrix Estimation; Appendix; A3. Equity Markets: Cumulative IRFs without Uncertainty in A Matrix
  • A4. Equity Markets: Cumulative IRFs with Uncertainty in A matrixAppendix Tables; A1. Robustness Check: A-Inverse with Random Walk Specification; A2. Robustness Check: Alternative Sample 2000-07; A3. Robustness Check: Alternative Sample 2000-October 5, 2012; References
Dimensions
unknown
Extent
1 online resource (27 p.)
Form of item
online
Isbn
9781475579574
Media category
computer
Media type code
  • c
Specific material designation
remote
System control number
  • (CKB)2550000001019173
  • (EBL)1587804
  • (SSID)ssj0001079408
  • (PQKBManifestationID)11586984
  • (PQKBTitleCode)TC0001079408
  • (PQKBWorkID)11065804
  • (PQKB)11202130
  • (MiAaPQ)EBC1587804
  • (EXLCZ)992550000001019173

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