Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2007 erstellt
Description:
With an increasingly integrated global financial system, we frequently observe that shocks to individual asset markets affect financial markets worldwide. The aim of this paper is to quantify the comovement between bond markets in the US and emerging market economies. Following Rigobon (2003), we exploit the changing volatility of the data to fully identify a structural VAR, without imposing ad-hoc restrictions. Our results yield some new insights into how shocks are transmitted across international financial markets