Exchange rate regime, volatility and international correlations on bond and stock markets /
Bodart, Vincent
Exchange rate regime, volatility and international correlations on bond and stock markets / [recurso electrónico] Vincent Bodart, Paul Reding. - Namur : Facultés Universitaires Notre-Dame de la Paix. Faculté des Sciences conomiques, Sociales et de Gestion, 1998 - 1 recurso en línea (19 p.) - Cahiers de recherche ; no. 204 .
Incluye bibliografía.
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.
MERCADOS DE DIVISAS
TIPO DE CAMBIO
ANALISIS EMPIRICO
EUROPA
CAMBIO EXTERIOR
332.456094
Exchange rate regime, volatility and international correlations on bond and stock markets / [recurso electrónico] Vincent Bodart, Paul Reding. - Namur : Facultés Universitaires Notre-Dame de la Paix. Faculté des Sciences conomiques, Sociales et de Gestion, 1998 - 1 recurso en línea (19 p.) - Cahiers de recherche ; no. 204 .
Incluye bibliografía.
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.
MERCADOS DE DIVISAS
TIPO DE CAMBIO
ANALISIS EMPIRICO
EUROPA
CAMBIO EXTERIOR
332.456094