This paper evaluates the financial spillovers between the US and emerging market economies (EMEs) using the methodology advocated by Diebold and Yilmaz (2009). Based on (i) cross-asset returns of sovereign bond, equity, and foreign exchange, and (ii) 27 individual long-term sovereign bond...

This paper examines financial linkages among Asia-Pacific stock markets and those between these markets and other global markets. By studying the mean and tail dependences of the 37 stock market indices, we find that while Asia-Pacific stock markets is mainly driven by shocks within the...

This paper investigates how a rise in US long-term interest rates would have an effect on other international markets. We document that a significant portion of long-term interest rates is due to term premium, which can be interpreted as compensation for inflation risk. Based on an assumed...