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Interdependence and Contagion in Global Asset Markets

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  • John Beirne
  • Jana Gieck

Abstract

We assess interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998–2011. Using a global VAR, we test for changes in the transmission mechanism—both within and cross-market changes—during periods of global financial turbulence. Contagion effects within-market are notable in Latin American and Emerging Asian equities. In addition, in times of financial crisis, we find that US equity shocks lead to risk aversion by investors in equities and currencies globally and in some emerging market bonds. Euro area shocks are significant mainly within the bond market.

Suggested Citation

  • John Beirne & Jana Gieck, 2014. "Interdependence and Contagion in Global Asset Markets," Review of International Economics, Wiley Blackwell, vol. 22(4), pages 639-659, September.
    • Handle: RePEc:bla:reviec:v:22:y:2014:i:4:p:639-659
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    File URL: http://hdl.handle.net/10.1111/roie.12116
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    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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