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The comovement of US and German bond markets

  • Engsted, Tom
  • Tanggaard, Carsten

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File URL: http://www.sciencedirect.com/science/article/B6W4W-4K3CYJ7-2/2/46ea305e90201c2d83ffefac45ed2fa7
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Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 16 (2007)
Issue (Month): 2 ()
Pages: 172-182

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Handle: RePEc:eee:finana:v:16:y:2007:i:2:p:172-182
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  1. Robert J. Shiller & Andrea E. Beltratti, 1990. "Stock Prices and Bond Yields: Can Their Co-Movements Be Explained in Terms of Present Value Models?," Cowles Foundation Discussion Papers 953, Cowles Foundation for Research in Economics, Yale University.
  2. Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
  3. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2003. "Common factors in international bond returns," Other publications TiSEM 06a83942-b625-4d3c-808c-a, Tilburg University, School of Economics and Management.
  4. David G. Barr & Richard Priestley, . "Expected Returns, Risk, and the Integration of International Bond Markets," Economics and Finance Discussion Papers 97-01, Economics and Finance Section, School of Social Sciences, Brunel University.
  5. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  6. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 2000. "Common Factors in International Bond Returns," Discussion Paper 2000-91, Tilburg University, Center for Economic Research.
  7. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
  8. Geert Bekaert & Robert J. Hodrick & David Marshall, 1996. "On biases in tests of the expectations hypothesis of the term structure of interest rates," Working Paper Series, Issues in Financial Regulation WP-96-3, Federal Reserve Bank of Chicago.
  9. Sutton, Gregory D., 2000. "Is there excess comovement of bond yields between countries?," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 363-376, June.
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