Central Bank Communication and Correlation between Financial Markets: Canada and the United States

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2009 in the framework of diagonal-BEKK models. Our research question is whether monetary policy actions and communications by the Bank of Canada and the Federal Reserve...

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Bibliographic Details

Published in:	MAGKS - Joint Discussion Paper Series in Economics (Band 01-2012)
Main Authors:	Beck, Melanie-Kristin, Hayo, Bernd, Neuenkirch, Matthias
Format:	Work
Language:	English
Published:	2012
Subjects:	Bank of Canada Federal Reserve Central Bank Communication Wirtschaft Diagonal-BEKK Models Dynamic Correlations Financial Markets Economics
Online Access:	PDF Full Text
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