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Are the dynamic linkages between the macroeconomy and asset prices time-varying?

✍ Scribed by Massimo Guidolin; Sadayuki Ono

Book ID
116636163
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
772 KB
Volume
58
Category
Article
ISSN
0148-6195

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## Abstract We provide evidence on the nature of co‐movement in monthly US and UK stock returns by investigating time‐varying correlations in returns since 1980. There is a marked increase in correlations between these markets around 2000, which we attribute to globalization and model with a time‐v