EconStor >
Philipps-Universität Marburg >
Faculty of Business Administration and Economics, Philipps-Universität Marburg >
MAGKS Joint Discussion Paper Series in Economics, Universität Marburg >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56534
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBeck, Melanie-Kristinen_US
dc.contributor.authorHayo, Bernden_US
dc.contributor.authorNeuenkirch, Matthiasen_US
dc.date.accessioned2012-01-12en_US
dc.date.accessioned2012-04-04T13:55:07Z-
dc.date.available2012-04-04T13:55:07Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/56534-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 01-2012en_US
dc.subject.jelE52en_US
dc.subject.jelF30en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordBank of Canadaen_US
dc.subject.keywordCentral Bank Communicationen_US
dc.subject.keywordDiagonal-BEKK modelsen_US
dc.subject.keyworddynamic correlationsen_US
dc.subject.keywordFederal Reserveen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwInformationsverhaltenen_US
dc.subject.stwÖffentlichkeitsarbeiten_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwRentenmarkten_US
dc.subject.stwKorrelationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwKanadaen_US
dc.subject.stwUSAen_US
dc.titleCentral bank communication and correlation between financial markets: Canada and the United Statesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn682936049en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

Files in This Item:
File Description SizeFormat
682936049.pdf217.53 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.