| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089723 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠I investigate the joint response of stock and FX market returns to macro shocks. ⺠FX market surprises affect both US and Japanese stock markets. ⺠Stock market response to US interest rate shock is overstated. ⺠Market response to Japanese inflation shock is also overstated. ⺠Responses are mitigated due to cross-market/country spillover effect of macro shocks.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kyung-Chun Mun,