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Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach

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  • Yuki Toyoshima
  • Shigeyuki Hamori

Abstract

This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (1996) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it.

Suggested Citation

  • Yuki Toyoshima & Shigeyuki Hamori, 2012. "Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 849-862, June.
  • Handle: RePEc:taf:apfiec:v:22:y:2012:i:11:p:849-862
    DOI: 10.1080/09603107.2011.628293
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    Cited by:

    1. Xu, Haifeng & Hamori, Shigeyuki, 2012. "Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008–09 financial crisis," Journal of Asian Economics, Elsevier, vol. 23(4), pages 344-352.

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