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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...

Whakaahuatanga katoa

I tiakina i:
I whakaputaina i:MAGKS - Joint Discussion Paper Series in Economics (Band 01-2012)
Ngā kaituhi matua: Beck, Melanie-Kristin, Hayo, Bernd, Neuenkirch, Matthias
Hōputu: Arbeit
Reo:Ingarihi
I whakaputaina: 2012
Ngā marau:
Central Bank Communication
Federal Reserve
Financial Markets
Diagonal-BEKK Models
Wirtschaft
Dynamic Correlations
Bank of Canada
Economics
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Whakaahuatanga
Whakarāpopototanga: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 significantly affect the conditional co-movement of financial markets (i) within Canada and (ii) between Canada and the United States. We find that central bank communication significantly increases the correlation of financial markets within and across the two countries and is particularly important for the correlation of Canadian and US long-term interest rates.
Whakaahuatanga ōkiko:22 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0116

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