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Title:Who leads financial markets? PDF Logo
Authors:Weber, Enzo
Issue Date:2007
Series/Report no.:SFB 649 discussion paper 2007,015
Abstract:The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows identifying the contemporaneous effects between the daily variables. Structural VARs or VECMs can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected effects in the reverse direction.
Subjects:Structural EGARCH
Financial Markets
United States
Euro Zone
JEL:C32
G15
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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