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International Stock Markets Comovements: the Role of Economic and Financial Integration

Listed author(s):
  • Claudio Morana

    ()

In this paper the contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (FVAR). The findings point to a key role of both economic and financial integration in determining stock markets comovements among the G-7 countries. While the former exercises its effects through the common response to global economic shocks, the latter operates through financial shocks spillovers, particularly at the regional level.

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File URL: http://www.biblioecon.unito.it/biblioservizi/RePEc/icr/wp2006/ICERwp25-06.pdf
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Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers with number 25-2006.

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Length: 31 pages
Date of creation: Jul 2006
Handle: RePEc:icr:wpicer:25-2006
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