| Title: |
Macro-economic determinants of European stock and government bond correlations: A tale of two regions |
| Authors: |
UCL - SSH/IMMAQ/IRES - Institut de recherches économiques et sociales; Perego, Erica Rita; Vermeulen, Wessel N. |
| Source: |
Journal of Empirical Finance, Vol. 37, p. 214-232 (2016) |
| Publisher Information: |
Elsevier BV * North-Holland 2016 |
| Document Type: |
Electronic Resource |
| Abstract: |
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 |
| Index Terms: |
Currency union; Financial markets; Time-varying correlation; info:eu-repo/semantics/article |
| URL: |
http://hdl.handle.net/2078.1/198890 |
| Availability: |
Open access content. Open access content; info:eu-repo/semantics/restrictedAccess |
| Note: |
English |
| Other Numbers: |
UCDLC oai:dial.uclouvain.be:boreal:198890; boreal:198890; info:doi/10.1016/j.jempfin.2016.04.002; urn:ISSN:0927-5398; 1130452591 |
| Contributing Source: |
UNIVERSITE CATHOLIQUE DE LOUVAIN; From OAIster®, provided by the OCLC Cooperative. |
| Accession Number: |
edsoai.on1130452591 |
| Database: |
OAIster |