20 sierpnia 2011

Decoupling czy nie decoupling?

Ciekawy papier z BoJ na temat powiązania rynków azjatyckich z gospodarkami rozwiniętymi (pojęcie decoupling-click). Z papieru wynika, że np. kryzysy na rynkach są ogólnoświatowe a decoupling to bajka. Asian Financial Linkage Abstract: How are Asian financial markets interlinked and how are they linked to markets in developed countries? What is the main driver of fluctuation in Asian financial markets as well as real economic activities? In order to answer these questions, we estimate the spillover index proposed by Diebold and Yilmaz (2009) and gauge the degree of interactions in both financial markets and real economic activities among Asian economies. We first show that the degree of the international spillover in stock markets is like cookie-cutter products, namely, uniform, irrespective of the groups of countries, such as G3, NIEs and ASEAN4. This suggests the importance of the globally common shock in stock markets. We, then, discuss the macrofinance dissonance. In stock and bond markets, the US has been the main driver of fluctuations. Regarding real economic activities, China has emerged as an important source of fluctuations Conclusion In this paper, we examine the questions such as: 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 activities? We show that:
  1. the degree of the international spillover in stock markets is uniform irrespective of the groups of countries
  2. the US has been the main driver of fluctuations, while China emerges as an important source of fluctuations in real economic activities;
  3. inflation expectations seems to be a key driver of country specific developments in nominal bond yields.
Although we have shown the possibility of the divergences in the sources of fluctuations in macroeconomic and financial activities, there could exist a missing link not investigated in this paper. China's macroeconomic performance may have some correlation with the US specific shocks to both stock prices and bond yields. Since we estimate the models separately for each financial market and real economic activities, we have not tested this hypothesis in this paper. The more detailed microeconomic based analysis, including the point mentioned above, on the macrofinance dissonance, is left for our future research. Papier tutaj (click)

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