Global Bonding: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Abstract

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of causality of contemporaneous correlations-an issue that other techniques cannot tackle-is the dominant source of uncertainty in the estimated impulse response functions.

Which Stock Exchange Leads the Other: Comparison Between US, Australia, Euro Zone and UK

“…The data contains pre-Global Financial Crisis (2003-2007) post-2007U.S. Financial Crisis (2007-2010) and post-2009Euro Area Crisis (2009-2012 and that will enable us to reach more comprehensive conclusion by identifying causality accurately because of having large shocks in advanced equity markets in our data. There are several reasons to choose weekly data for our study.…”

International spillovers in global asset markets

“…However, Bekaert, Cho and Moreno (2010) refute the presence of cross-border contagion in international equity markets. Bayoumi and Bui (2012) examine spillovers within bond market and within equity market in the two separate models for the world's most important markets, i.e. those of the US, the Euro area, Japan, and the UK in the period from 2000 to 2009.…”

“…They are considered as the most advanced and integrated financial markets and represent the majority share of the world market capitalization (Bayoumi and Bui, 2012). Our main focus lies on the international interactions (spillovers) of bond and stock markets, whereas some other 1 In section 5 we also consider monetary policy stance measures and foreign exchange markets.…”

“…Thus, a new strand of research was dedicated to the analysis of broader linkages among advanced (as well as emerging countries) financial markets (Bayoumi and Bui, 2012, Beirne and Gieck, 2014, and Raddant and Kenett, 2016. There seems to be general agreement on the fact that the global financial markets have become increasingly integrated and highly complex, with cross-border connections and dependencies.…”

The Effect of Indonesian Macroeconomic Condition and International Interest Rate on Yield of the Government Bond in Us Dollar

“…Based on Joutz et al (2002), it is stated that bond issued with a status of non-investment grade is more vulnerable to be shocked from the external factors. With the market capitalization rate and dominant turnover compared to other countries, the United States has a major influence toward global financial market including bond market (Bayoumi et al, 2012). The condition of economy in the US as reflected in the yield of US Treasury Bills is predicted to provide significant contribution to the yield of the Government Bond in US Dolar.…”