Series: IMF Working Papers
Author(s): Tamim Bayoumi , and Trung Bui
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 20 December 2012
Keywords: Identification, international financial linkages, bond, equity markets, bond yields, financial markets, Estimation, Time-Series Models, General,
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results su...