Measuring International Economic Linkages with Stock Market Data
Measuring International Economic Linkages with Stock Market Data
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用股市数据衡量国际经济联系
DOI：
10.1111/j.1540-6261.1996.tb05224.x
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发表时间：
1996
影响因子：
8
通讯作者：
J. Mei
中科院分区：
文献类型：
--
作者：
J. Ammer;J. Mei
本文开发了一个衡量国家间金融和实体经济联系的新框架。作者利用 1957 年至 1989 年美国和英国的数据，发现布雷顿森林货币安排被放弃、英国暂停外汇管制后，金融联系更加紧密。在较短时期内对 15 个国家进行配对应用时，他们还发现，有关未来股息增长的消息在国家之间的相关性比同期产出指标的相关性更高。这表明经济冲击的国际传导存在滞后性，同期产出相关性可能低估了一体化的程度。美国金融协会版权所有 1996。
This article develops a new framework for measuring financial and real economic linkages between countries. Using U.S. and U.K. data from 1957 to 1989, the authors find closer financial linkages after the Bretton Woods currency arrangement was abandoned and Britain suspended exchange controls. In a pairwise application to fifteen countries over a shorter period, they also find that news about future dividend growth is more highly correlated between countries than contemporaneous output measures. This suggests that there are lags in the international transmission of economic shocks and that contemporaneous output correlation may understate the magnitude of integration. Copyright 1996 by American Finance Association.
影响因子：
8.2
作者：
Campbell, John Y.;Shiller, Robert J.
通讯作者：
Shiller, Robert J.