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dc.contributor.authorBeck, Melanie-Kristinen
dc.contributor.authorHayo, Bernden
dc.contributor.authorNeuenkirch, Matthiasen
dc.date.accessioned2012-01-12-
dc.date.accessioned2012-04-04T13:55:07Z-
dc.date.available2012-04-04T13:55:07Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x01-2012en
dc.subject.jelE52en
dc.subject.jelF30en
dc.subject.jelG12en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordBank of Canadaen
dc.subject.keywordCentral Bank Communicationen
dc.subject.keywordDiagonal-BEKK modelsen
dc.subject.keyworddynamic correlationsen
dc.subject.keywordFederal Reserveen
dc.subject.keywordfinancial marketsen
dc.subject.stwGeldpolitiken
dc.subject.stwInformationsverhaltenen
dc.subject.stwÖffentlichkeitsarbeiten
dc.subject.stwBörsenkursen
dc.subject.stwAktienmarkten
dc.subject.stwRentenmarkten
dc.subject.stwKorrelationen
dc.subject.stwSchätzungen
dc.subject.stwKanadaen
dc.subject.stwUSAen
dc.titleCentral bank communication and correlation between financial markets: Canada and the United States-
dc.typeWorking Paperen
dc.identifier.ppn682936049en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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