Stocks, bonds, money markets and exchange rates: measuring international financial transmission
构建统一实证框架，同时建模美国与欧元区货币、债券、股票市场及汇率间的国内与国际传导，发现美国市场解释欧元区约30%的变动，而反向仅约6%。
Understanding the complexity of the financial transmission process across various assets—domestically as well as within and across asset classes—requires the simultaneous modeling of the various transmission channels in a single, comprehensive empirical framework. The paper estimates the financial transmission between money, bond and equity markets and exchange rates within and between the USA and the euro area. We find that asset prices react strongest to other domestic asset price shocks, but that there are also substantial international spillovers, both within and across asset classes. The results underline the dominance of US markets as the main driver of global financial markets: US financial markets explain, on average, around 30% of movements in euro area financial markets, whereas euro area markets account only for about 6% of US asset price changes. Moreover, the methodology allows us to identify indirect spillovers through other asset prices, which are found to increase substantially the international transmission of shocks within asset classes. Copyright © 2010 John Wiley & Sons, Ltd.