全球智库信息集成服务系统(G2TT): Spillovers Across U.S. Financial Markets

G2TT

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.