Exchange rate regime, volatility and international correlations on bond and stock markets /

The paper investigates the potential effects of the exchange rate regime on the conditional volatilities and international correlations on bond and stock markets. The analysis is essentially empirical. It focuses on the recent experience of the EMS, and examines the behavior of domestic daily return...

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Bibliographic Details
Main Author: Bodart, Vincent
Other Authors: Reding, Paul
Format: Software Article
Published: Namur : Facultés Universitaires Notre-Dame de la Paix. Faculté des Sciences conomiques, Sociales et de Gestion, 1998
Series:Cahiers de recherche ; no. 204
Subjects:
Online Access:http://cms-content.bates.edu/prebuilt/bodart_&_reding.pdf
Description
Summary:The paper investigates the potential effects of the exchange rate regime on the conditional volatilities and international correlations on bond and stock markets. The analysis is essentially empirical. It focuses on the recent experience of the EMS, and examines the behavior of domestic daily returns on bond and stock markets with the objective of identifying whether there exists significant differences in the patterns of volatilities and international correlations between ERM and non-ERM countries and across alternative episodes of ERM exchange rate variability.
Physical Description:1 recurso en línea (19 p.)
Bibliography:Incluye bibliografía.