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This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and commodity markets in the United States, the paper finds evidence of each form of linkage. Furthermore, the conditional correlations change over time and exhibit considerable persistence. The estimated time-varying conditional correlations provide insight into the nature of the stock market crash of 1987.

Finance: General --- Macroeconomics --- Public Finance --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Model Construction and Estimation --- Information and Market Efficiency --- Event Studies --- General Financial Markets: General (includes Measurement and Data) --- Taxation, Subsidies, and Revenue: General --- International Financial Markets --- Externalities --- Finance --- Public finance & taxation --- Stock markets --- Securities markets --- Small taxpayer office --- Currency markets --- Spillovers --- Financial markets --- Revenue administration --- Financial sector policy and analysis --- Stock exchanges --- Capital market --- Tax administration and procedure --- Foreign exchange market --- International finance --- United States

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This paper presents case studies of macroprudential policy in five jurisdictions (Hong Kong SAR, the Netherlands, New Zealand, Singapore, and Sweden). The case studies describe the institutional framework, its evolution, the use of macroprudential tools, and the circumstances under which the tools have been used. The paper shows how macroprudential policy is conducted under a heterogeneous set of institutional frameworks. In all cases macroprudential tools have been used to address risks in the housing market. In addition, some of them have moved to enhance the resilience of their banks to mor

Business. --- Economic development -- 20th century. --- Economic development -- 21st century. --- Industrialization.

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This paper examines the relationship between the quality of banking supervision and governance of the supervisory agency, based on assessments of the Basel Core Principles and the IMF Code on Transparency in Financial Policies, covering 116 and 53 countries, respectively, with 51 common to both. We find a positive correlation between the transparency of the supervisor and the effectiveness of banking supervision; moreover, better accountability and integrity practices of the banking supervisors are associated with higher independence, which in turn is associated with better compliance with the Basel Core Principles. These results are largely robust to different stages of financial development.

Banks and banking -- State supervision. --- Banks and banking, Central. --- Corporate governance. --- Banks and Banking --- Finance: General --- Macroeconomics --- Financial Institutions and Services: Government Policy and Regulation --- General Financial Markets: Government Policy and Regulation --- Financial Markets and the Macroeconomy --- Personal Income, Wealth, and Their Distributions --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial services law & regulation --- Finance --- Banking --- Bank supervision --- Basel Core Principles --- Financial sector development --- Personal income --- Banks and banking --- State supervision --- Financial services industry --- Income --- State supervision.