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In the Quest for the Nexus of Financial Markets

Tue, Jun 17 2008, 09:16 GMT
by Yapi Kredi Bank Economic Research Department

Yapi Kredi Bank

It is known that various asset returns possess significant interrelations, and that financial returns and volatilities move together over time across assets and markets, since they are all part of a greater portfolio. In this manner, it is expected that there may be a correlation between the exchange rates, interest rates and the stock market in Turkey. Moreover, price movements in one market are also expected to spread to another. Therefore, the dynamic relationship between these three markets should be modeled within a multivariate framework.

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Published on  Tue, Jun 17 2008, 09:21 GMT

Archive

• Thinking Inside the Box: Input-Output
  Published On Thu, Jul 10 2008, 09:24 GMT
• In the Quest for the Nexus of Financial Markets
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