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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w9640 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w9640 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
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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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w9640.pdf(972KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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