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Central bank communication and correlation between financial markets : Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...