| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2517 |
| DP2517 Measuring Co-Movements Between US and European Stock Markets | |
| Carlo A. Favero; Alessandra Bonfiglioli | |
| 发表日期 | 2000-07-25 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | In this paper we concentrate on the potential consequences for the European stock market of a correction of the US stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By considering a Vector Error Correction Model, in which stock returns tend to restore an equilibrium relationship between the forecast earnings yield on common stocks and the yield on bonds, we provide separate answers to the following questions: Is there long-term interdependence between the US and Europe, i.e. does the equilibrium for European shares depend on the equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short-term fluctuations of the US share prices spill over to European share prices and is such co-movement stable in the event of high volatility episodes? |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Contagion stock market Interdependence Structural models |
| URL | https://cepr.org/publications/dp2517 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531591 |
| 推荐引用方式 GB/T 7714 | Carlo A. Favero,Alessandra Bonfiglioli. DP2517 Measuring Co-Movements Between US and European Stock Markets. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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