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The aim of the research is to define possible contagion level of capital market resulting from shocks in main international stocks and bonds markets on basis of the assessment of… Click to show full abstract
The aim of the research is to define possible contagion level of capital market resulting from shocks in main international stocks and bonds markets on basis of the assessment of market interconnectedness. Global Vector Autoregressive model was built up for securities markets in China, Euro area, Japan and the U.S. Using generalised impulse response functions scenarios of influence of shocks in market and estimate of contagion level in selected time horizon are simulated.
Keywords:
effects international;
contagion effects;
contagion;
financial instruments;
international financial;
interconnectedness contagion
Journal Title: Montenegrin journal of economics
Year Published: 2017
Link to full text (if available)
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Journal Title: Montenegrin journal of economics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!