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...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	MAGKS - Joint Discussion Paper Series in Economics (Band 01-2012)
Autoren:	Beck, Melanie-Kristin, Hayo, Bernd, Neuenkirch, Matthias
Format:	Arbeit
Sprache:	Englisch
Veröffentlicht:	2012
Schlagworte:	Dynamic Correlations Financial Markets Wirtschaft Diagonal-BEKK Models Bank of Canada Federal Reserve Central Bank Communication Economics
Online-Zugang:	PDF-Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!