Cover Image

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...

Full description

Saved in:
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:
Dynamic Correlations
Financial Markets
Wirtschaft
Diagonal-BEKK Models
Bank of Canada
Federal Reserve
Central Bank Communication
Economics
Online Access:PDF Full Text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
Physical Description:22 Pages
ISSN:1867-3678
DOI:10.17192/es2024.0116

Similar Items