Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission

Ehrmann, Michael; Fratzscher, Marcel; Rigobón, Roberto

doi:10.3386/w11166

Cited by 171 publications

(198 citation statements)

References 15 publications

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“…Coudert et al (2011) examine the degree to which the volatilities of exchange rates in emerging countries are affected by global stock markets, emerging stock markets, and commodity markets. Ehrmann et al (2011) also find evidence of spillovers across different asset classes both domestically and internationally. To capture the spillovers from the different regions as well as different financial markets, we include global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar).…”

Section: Introductionmentioning

confidence: 87%

“…In addition to spillovers within the region, spillovers from different asset classes are also evident in other studies (Coudert, Couharde, and Mignon, 2011;and Ehrmann, Fratzscher, and Rigobon, 2011). Coudert et al (2011) examine the degree to which the volatilities of exchange rates in emerging countries are affected by global stock markets, emerging stock markets, and commodity markets.…”

Section: Introductionmentioning

confidence: 99%

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The global financial crisis: An analysis of the spillover effects on African stock markets

Sugimoto

Matsuki

Yoshida

2014

Emerging Markets Review

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This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolve during the two crises through the econometric method introduced by Diebold and Yilmaz (2012). We find that African markets are most severely affected by spillovers from global markets and modestly from commodity and currency markets. Conversely, the regional spillovers within Africa are smaller than the global ones and are insulated from the global crises. We also find that the aggregated spillover effects of European countries to the African markets exceeded that of the US even at the wake of the US financial crisis.

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Section: Introductionmentioning

confidence: 87%

Section: Introductionmentioning

confidence: 99%

The global financial crisis: An analysis of the spillover effects on African stock markets

Sugimoto

Matsuki

Yoshida

2014

Emerging Markets Review

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“…And while the work of Bredin et al (2010), Ehrmann et al (2011), and Hausman and Wongswan (2011) documents the extent of spillovers in the international bond markets resulting from the unanticipated changes in the conventional stance of US monetary policy, there is relatively little empirical evidence of how the strength and scope of these spillover effects differ between conventional and unconventional policy regimes. Thus in addition to comparing the spillover effects of conventional US monetary policy for advanced and emerging economies, we also analyze whether the spillover effects from conventional policy actions to foreign bond yields and sovereign credit spreads differ from those of unconventional policies.…”

Section: Consistent With This Predictionmentioning

confidence: 99%

US Monetary Policy and International Bond Markets

Gilchrist

Yue²,

Zakrajšek

2018

FEDS

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This paper uses high-frequency data to analyze the effects of US monetary policy-during the conventional and unconventional policy regimes-on foreign government bonds markets in advanced and emerging market economies. The results indicate that an expansionary US monetary policy steepens the foreign yield curve-denominated in local currency-during a conventional US monetary policy regime and flattens the foreign yield curve during an unconventional policy regime. The passthrough of unconventional US monetary policy to foreign bond yields is, on balance, comparable to that of conventional policy. In addition a conventional US monetary easing leads to a significant narrowing of the credit spreads on dollar-denominated sovereign bonds that are issued by countries with a speculative-grade sovereign credit rating. However, during the unconventional policy regime, yields on speculative-grade sovereign debt denominated in dollars move one-to-one with yields on comparable-maturity US Treasury securities.JEL Classification: E4, E5, F3

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“…Bernanke and Kuttner (2005) and Ehrmann and Fratzscher (2004) are among the studies which report a relation between monetary policy shocks and equity prices in the Unites States (US). Ehrmann et al (2005) show that, changes in short term interest rates affect the equity markets in the US. In addition, compared to the US they report much more influence of bond yields and exchange rates on euro area short rates and equity markets.…”

Section: Literature Reviewmentioning

confidence: 99%