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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Bayoumi, Tamim - 2012

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...

Persistent link: https://www.econbiz.de/10014395332

Fatal Attraction : A New Measure of Contagion

Bayoumi, Tamim - 2003

This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on … previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous … practice it measures contagion using the relationship of these correlations with distance. Also in contrast to previous work …

Persistent link: https://www.econbiz.de/10014403655

Foreign Entanglements : Estimating the Source and Size of Spillovers Across Industrial Countries

Bayoumi, Tamim - 2007

VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate significant spillovers, while those from the euro area and Japan are small. This...

Persistent link: https://www.econbiz.de/10014400326

The Ties That Bind : Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields

Swiston, Andrew - 2007

This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S....

Persistent link: https://www.econbiz.de/10014400687

Spillovers Across Nafta

Bayoumi, Tamim - 2008

This paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and decomposing the impact of these spillovers into trade, commodity price, and...

Persistent link: https://www.econbiz.de/10014401401

After the Fall : Lessons for Policy Cooperation from the Global Crisis

Bayoumi, Tamim - 2014

A crisis is a terrible thing to waste, and nowhere is this truer than in the arena of international economic policy cooperation. With the world facing the largest and most synchronized plunge in output of the postwar era, policy makers banded together to find solutions. This paper looks at the...

Persistent link: https://www.econbiz.de/10014411401

Apocalypse then : The Evolution of the North Atlantic Economy and the Global Crisis

Bui, Trung - 2011

The financial crisis, originated from the collapse of US housing markets in 2008, reverberates around the world. Its destructive force was felt nowhere more keenly than Western Europe. Indeed, it continues to mire in financial volatility as the debt problem contagiously spreads around the...

Persistent link: https://www.econbiz.de/10014398383

Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices

Bayoumi, Tamim - 2011

Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in...

Persistent link: https://www.econbiz.de/10014398520

Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions

MacDonald, Ronald - 1998

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...

Persistent link: https://www.econbiz.de/10014400558

Reversing the Financial Accelerator : Credit Conditions and Macro-Financial Linkages

Bayoumi, Tamim - 2011

This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit...

Persistent link: https://www.econbiz.de/10014403221