Reference : Macroeconomic determinants of European stock and bond correlations: A tale of two regions.
Scientific journals : Article
Business & economic sciences : Macroeconomics & monetary economics
http://hdl.handle.net/10993/29316
Macroeconomic determinants of European stock and bond correlations: A tale of two regions.
English
Perego, Erica mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Vermeulen, Wessel [Newcastle University London]
2016
Journal of Empirical Finance
Elsevier Science
Yes (verified by ORBilu)
International
0927-5398
[en] This paper presents an analysis of Euro-zone financial markets based on a joint assessment of bonds, stocks and stock–bond correlations between groups of Euro-zone countries. The quarterly component of dynamic correlations indicates the divergence of integration in Europe and highlights the heterogeneity in these markets. Panel regressions on these dynamic correlations, controlling for unobserved heterogeneity, offer new insights into the role of macro-economic determinants of financial markets between assets and regions. This combined analysis of markets provides evidence on the importance of macro-economic factors such as inflation, uncertainty, debt, current account and economic growth in European financial integration. These factors may be overlooked when analysing a single market for individual pairs of countries. As a result we find that the robust role of economic fundamentals in European financial market correlations points to the need for European economic integration based on sound macro-economic fundamentals for both current and future Euro-zone members.
http://hdl.handle.net/10993/29316
10.1016/j.jempfin.2016.04.002
http://www.sciencedirect.com/science/article/pii/S0927539816300378

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Open access
2013013.pdfAuthor preprint1.54 MBView/Open

Bookmark and Share SFX Query

All documents in ORBilu are protected by a user license.