Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182447
Authors: 
Herwartz, Helmut
Roestel, Jan
Year of Publication: 
2018
Series/Report no.: 
Economics Working Paper 2018-08
Abstract: 
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market interrelations under distinguished scenarios of crises. It refers to the logic behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission from conventional reduced form volatility models with dynamic correlations. We find the market value of banking institutions to be highly sensitive to news originating in other markets, with those originating in the real estate market being most important. Under stress, in turn, the banking sector tends to dominate financial market (co)variation, where it exhibits a marked feedback relation with both the real estate and the equity market.
Subjects: 
Identification
Contemporaneous effects
Causality
Impulse response analysis
GARCH
Volatility transmission
Financial crises
JEL: 
C39
C32
E44
G01
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size





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