Skip navigation
Skip navigation

Asian Financial Linkage: Macro-Finance Dissonance

Fujiwara, Ippei; Takahashi, Koji

Description

How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activity? To answer these questions, we estimate the spillover index proposed by Diebold and Yilmaz and gauge the degree of interaction in both financial markets and real economic activity among Asian economies. We first show that the degree of the international spillover in stock markets is uniform,...[Show more]

dc.contributor.authorFujiwara, Ippei
dc.contributor.authorTakahashi, Koji
dc.date.accessioned2015-12-10T23:26:57Z
dc.identifier.issn1361-374X
dc.identifier.urihttp://hdl.handle.net/1885/68000
dc.description.abstractHow are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuations in Asian financial markets as well as real economic activity? To answer these questions, we estimate the spillover index proposed by Diebold and Yilmaz and gauge the degree of interaction in both financial markets and real economic activity among Asian economies. We first show that the degree of the international spillover in stock markets is uniform, irrespective of the groups of countries concerned, such as the G3 and ASEAN4. This suggests the importance of global common shocks in stock markets. We then discuss the macro-finance dissonance. In stock and bond markets, the United States has been the main driver of fluctuations. However, China has emerged as an important source of fluctuations in real economic activity.
dc.publisherBlackwell Publishing Ltd
dc.sourcePacific Economic Review
dc.subjectKeywords: economic activity; financial market; regional economy; spillover effect; stock market; China; United States
dc.titleAsian Financial Linkage: Macro-Finance Dissonance
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume17
dc.date.issued2012
local.identifier.absfor140207 - Financial Economics
local.identifier.ariespublicationf5625xPUB1586
local.type.statusPublished Version
local.contributor.affiliationFujiwara, Ippei, College of Asia and the Pacific, ANU
local.contributor.affiliationTakahashi, Koji, Bank of Japan and University of California
local.description.embargo2037-12-31
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage136
local.bibliographicCitation.lastpage159
local.identifier.doi10.1111/j.1468-0106.2011.00575.x
dc.date.updated2016-02-24T08:48:38Z
local.identifier.scopusID2-s2.0-84863115578
local.identifier.thomsonID000300697800008
CollectionsANU Research Publications

Download

File Description SizeFormat Image
01_Fujiwara_Asian_Financial_Linkage:_2012.pdf2.87 MBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator