Arbeitspapier
Stocks, bonds, money markets and exchange rates: measuring international financial transmission
The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and 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, more than 25% of movements in euro area financial markets, whereas euro area markets account only for about 8% of US asset price changes. The international propagation of shocks is strengthened in times of recession, and has most likely changed in recent years: prior to EMU, the paper finds smaller international spillovers.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 452
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
- Thema
-
financial market linkages
integration
international financial markets
transmission
Internationaler Finanzmarkt
Spillover-Effekt
USA
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ehrmann, Michael
Fratzscher, Marcel
Rigobon, Roberto
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ehrmann, Michael
- Fratzscher, Marcel
- Rigobon, Roberto
- European Central Bank (ECB)
Entstanden
- 2005
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