TY  - JOUR
AU  - Ehrmann,Michael
AU  - Fratzscher,Marcel
AU  - Rigobon,Roberto
TI  - Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11166
PY  - 2005
Y2  - March 2005
UR  - http://www.nber.org/papers/w11166
L1  - http://www.nber.org/papers/w11166.pdf
N1  - Author contact info:
Michael Ehrmann
European Central Bank
Postfach 16 03 19
D-60066 Frankfurt am Main
GERMANY
E-Mail: michael.ehrmann@ecb.int

Marcel Fratzscher
European Central Bank
Kaiserstrasse 29
D-60311 Frankfurt/Main    GERMANY
Tel: +49 - 69 1344 6871
E-Mail: marcel.fratzscher@ecb.int

Roberto Rigobon
MIT Sloan School of Management
100 Main Street, E62-516
Cambridge, MA 02142
Tel: 617/258-8374
Fax: 617/258-6855
E-Mail: rigobon@mit.edu
AB  - The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity markets and exchange rates within and between the United States and the euro area. We find that asset prices react strongest to other domestic asset price shocks, and 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, more than 25% of movements in euro area financial markets, whereas euro area markets account only for about 8% of US asset price changes. The international propagation of shocks is strengthened in times of recession, and has most likely changed in recent years: prior to EMU, the paper finds smaller international spillovers.
ER  -