Resource title

Who leads financial markets?

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Resource description

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using structural residuals. This approach consequently allows identifying the contemporaneous effects between the daily variables. Structural VARs or VECMs can therefore give answers to the question of financial markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is able to uncover otherwise neglected effects in the reverse direction.

Resource author

Enzo Weber

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25187

Resource license

Adapt according to the presented license agreement and reference the original author.