Volatility transmission of swap spreads among the US, Japan and the UK: a cross-correlation function approach

• Autores: Yuki Toyoshima, Shigeyuki Hamori
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 22, Nº. 10-12, 2012, págs. 849-862
• Idioma: inglés
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• Resumen

  • This article analyses volatility transmission across the swap markets of the US, Japan and the UK. The two-step procedure developed by Cheung and Ng (1996) is used to examine causality-in-mean and causality-in-variance among the three countries. The empirical findings indicate the existence of more causality-in-variance patterns during the time of financial crisis than in the normal period that preceded it.