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Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets

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  • Bodart, V.
  • Reding, P.

Abstract

The paper investigates the potential effects of the exchange rate regime on the conditional volatilities and international correlations on bond and stock markets. The analysis is essentially empirical. It focuses on the recent experience of the EMS, and examines the behavior of domestic daily returns on bond and stock markets with the objective of identifying whether there exists significant differences in the patterns of volatilities and international correlations between ERM and non-ERM countries and across alternative episodes of ERM exchange rate variability.

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Bibliographic Info

Paper provided by Notre-Dame de la Paix, Sciences Economiques et Sociales in its series Papers with number 204.

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Length: 18 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:nodapa:204

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Postal: FACULTE UNIVERSITAIRE NOTRE-DAME DE LA PAIX, FACULTE DES SCIENCES ECONOMIQUES ET SOCIALES, RUE DE BRUXELLES NAMUR FRANCE.
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Web page: http://www.fundp.ac.be/facultes/eco/
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Keywords: EXCHANGE RATE ; BONDS ; STOCK MARKET;

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References

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  1. Flood, Robert P & Rose, Andrew K, 1993. "Fixing Exchange Rates: A Virtual Quest for Fundamentals," CEPR Discussion Papers 838, C.E.P.R. Discussion Papers.
  2. Frenkel, Jacob A & Mussa, Michael L, 1980. "The Efficiency of Foreign Exchange Markets and Measures of Turbulence," American Economic Review, American Economic Association, vol. 70(2), pages 374-81, May.
  3. Krugman, Paul & Miller, Marcus, 1993. "Why have a target zone?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 38(1), pages 279-314, June.
  4. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
  5. Andrew K. Rose & Lars E.O. Svensson, 1993. "European Exchange Rate Credibility Before the Fall," NBER Working Papers 4495, National Bureau of Economic Research, Inc.
  6. Fratianni, Michele & von Hagen, Juergen, 1990. "The European Monetary System ten years after," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 173-241, January.
  7. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
  8. Andrew K. Rose, 1995. "After the Deluge: Do Fixed Exchange Rates Allow Inter-Temporal Volatility Tradeoffs?," NBER Working Papers 5219, National Bureau of Economic Research, Inc.
  9. Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, vol. 21(3-4), pages 215-232, November.
  10. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, October.
  11. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, October.
  12. Diebold & Lopez, . "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
  13. Baxter, Marianne & Stockman, Alan C., 1989. "Business cycles and the exchange-rate regime : Some international evidence," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 377-400, May.
  14. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343 National Bureau of Economic Research, Inc.
  15. Dale W. Henderson & Warwick J. McKibbin, 1993. "A comparison of some basic monetary policy regimes for open economies: implications of different degrees of instrument adjustment and wage persistence," International Finance Discussion Papers 458, Board of Governors of the Federal Reserve System (U.S.).
  16. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
  17. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
  18. Marston, Richard C., 1985. "Stabilization policies in open economies," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 17, pages 859-916 Elsevier.
  19. Richard C. Marston, 1983. "Stabilization Policies in Open Economies," NBER Working Papers 1117, National Bureau of Economic Research, Inc.
  20. Jacob A. Frenkel & Michael L. Mussa, 1980. "Efficiency of Foreign Exchange Markets and Measures of Turbulence," NBER Working Papers 0476, National Bureau of Economic Research, Inc.
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