G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w9640
来源IDWorking Paper 9640
Spillovers Across U.S. Financial Markets
Roberto Rigobon; Brian Sack
发表日期2003-04-28
出版年2003
语种英语
摘要Movements in the prices of different assets are likely to directly influence one another. This paper develops a model that identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we estimate a structural-form GARCH' model that includes the short-term interest rate, the long-term interest rate, and the stock market. The results indicate that there are strong contemporaneous interactions between these variables. Accounting for this behavior is critical for interpreting daily changes in asset prices and for predicting the future paths of their variances and correlations. We demonstrate the importance of this consideration in a risk-management application.
主题Macroeconomics ; Money and Interest Rates
URLhttps://www.nber.org/papers/w9640
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/567264
推荐引用方式
GB/T 7714
Roberto Rigobon,Brian Sack. Spillovers Across U.S. Financial Markets. 2003.
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