TY  - JOUR
AU  - Kaminsky,Graciela L.
AU  - Reinhart,Carmen M.
TI  - Financial Markets in Times of Stress
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8569
PY  - 2001
Y2  - October 2001
UR  - http://www.nber.org/papers/w8569
L1  - http://www.nber.org/papers/w8569.pdf
N1  - Author contact info:
Graciela L. Kaminsky
Department of Economics
George Washington University
Washington, DC  20052
Tel: 202/994-6686
Fax: 202/994-6147
E-Mail: graciela@gwu.edu

Carmen M. Reinhart
Peterson Institute for International Economics
1750 Massachusetts Avenue, NW
Washington, DC 20036-1903
Tel: 202-454-1325
Fax: 202-659-3225
E-Mail: creinhart@piie.com
AB  - In this paper, we examine which markets are most synchronized internationally and exhibit the greater extent of comovement. We focus on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. Our sample covers thirty-five developed and emerging market countries during 1997-1999. The extent of comovement and responsiveness to external shocks is examined in different ways. To measure the response of these markets to adverse external shocks, we date the peaks in domestic interest rates and bond spreads and the largest daily declines in equity prices and assess the extent of clustering around the same period. We also analyze which markets show evidence of greatest comovement in general, irrespective of whether there are adverse shocks or not.
ER  -