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A Bayesian Analysis of Market Information Linkages among NAFTA Countries using a Multivariate Stochastic Volatility Model

Fleischer, Petra; Maller, Ross; Muller, Gernot


NAFTA has arguably been the most important and elaborate free-trade agreement in history, providing a blueprint for potential new agreements. So far, the evidence is mixed as to whether NAFTA has been successful in terms of its economic impact. We fit a multivariate stochastic volatility model that directly measures financial information linkages across the three participating countries in a trivariate setting. The model detects significant changes in information linkages across the countries...[Show more]

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
Source: Journal of Economics and Finance
DOI: 10.1007/s12197-009-9086-2


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