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- W2054519963 abstract "We study whether asymmetric macroeconomic shocks help to explain changes in the international comovement of monthly stock returns in major industrialized countries over the period 1975–2004. Based on a time-varying parameter model, we trace out how the pattern of international comovement of stock returns changed over time. In order to identify asymmetric macroeconomic shocks, we estimate vector-autoregressive models. The results of estimating time-series regression models and panel-data models indicate that changes in the international comovement of stock returns are not systematically linked to macroeconomic shocks." @default.
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- W2054519963 date "2009-04-01" @default.
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- W2054519963 title "Changes in the international comovement of stock returns and asymmetric macroeconomic shocks" @default.
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- W2054519963 doi "https://doi.org/10.1016/j.intfin.2008.01.002" @default.
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