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Abstract

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.

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Bibliographic Info

Paper provided by European Central Bank in its series Working Paper Series with number 452.

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Length: 47 pages
Date of creation: Mar 2005
Date of revision:
Handle: RePEc:ecb:ecbwps:20050452

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Related research

Keywords: International financial markets; integration; transmission; financial market linkages; identification; heteroskedasticity; asset pricing; United States; euro area.;

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Find related papers by JEL classification:

• E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
• F3 - International Economics - - International Finance
• C5 - Mathematical and Quantitative Methods - - Econometric Modeling

This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-10-04 (All new papers)
• NEP-EEC-2005-10-04 (European Economics)
• NEP-FMK-2005-10-04 (Financial Markets)
• NEP-IFN-2005-10-04 (International Finance)
• NEP-MAC-2005-10-04 (Macroeconomics)
• NEP-MON-2005-10-04 (Monetary Economics)

References

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