| Titre | Facteurs de risque communs sur les marchés internationaux d'actions, d'obligations et de changes | |
|---|---|---|
| Auteur | Olivier De Bandt | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
|
| Page | 91-104 | |
| Résumé anglais |
Common Risk Factors on the International Stock, Bond and Exchange Markets
by Olivier De Bandt
This paper finds a «predictability» of yield spreads on the stock, bond and exchange markets in the United States, Japan, Germany and the United Kingdom for the 1980: 1-1994:5 period. Although this property is more significant on the bond and exchange markets than on the stock market, it can be used for a dynamic measurement of financial market integration. We find common risk factors among these three assets at national level. We moreover find a close international integration of the bond markets, which also feature common risk factors: the yield premium on the two different countries' bond markets and that on the exchange market are generally well represented by a model with two latent variables. Nevertheless, these relationships appear to be unstable over time. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5977 |
