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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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