A Decomposition of Global Linkages in Financial Markets Over Time
检验了国家间的实体和金融联系能否解释大型市场波动对其他金融市场的影响，发现双边贸易是冲击传导的主要渠道，而双边投资作用不显著。
This paper tests if real and financial linkages between countries can explain why movements in the world's largest markets often have such large effects on other financial markets, and how these cross-market linkages have changed over time. It estimates a factor model in which a country's market returns are determined by global, sectoral, and cross-country factors (returns in large financial markets) and by country-specific effects. Then it uses a new data set on bilateral linkages between the world's five largest economies and approximately 40 other markets to decompose the cross-country factor loadings into direct trade flows, competition in third markets, bank lending, and foreign direct investment. In the latter half of the 1990s, bilateral trade flows are large and significant determinants of how shocks are transmitted from large economies to other stock and bond markets. Bilateral foreign investment is usually insignificant. Therefore, despite the recent growth in global financial flows, direct trade still appears to be the most important determinant of how movements in the world's largest markets affect financial markets around the globe. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.