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Title:Central bank communication and correlation between financial markets: Canada and the United States PDF Logo
Authors:Beck, Melanie-Kristin
Hayo, Bernd
Neuenkirch, Matthias
Issue Date:2012
Series/Report no.:Joint discussion paper series in economics 01-2012
Abstract:We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal Reserve significantly affect the co-movement of financial markets. We find that target rate changes and various forms of communication by both central banks increase correlations within Canadian bond and stock markets as well as between Canadian and US financial markets.
Subjects:Bank of Canada
Central Bank Communication
Diagonal-BEKK models
dynamic correlations
Federal Reserve
financial markets
JEL:E52
F30
G12
G15
Document Type:Working Paper
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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