We study the link between international monthly equity correlations and the comovement of business-cycle fluctuations in seven major countries over the period 1970–2004. In order to measure international equity correlations, we estimated bivariate GARCH models featuring time-varying conditional correlations. To assess the robustness of our results, we analyzed different GARCH models and used different measures of business-cycle fluctuations. Our results indicate that the link between international equity correlations and the comovement of business-cycle fluctuations is in general statistically not significant.
|Number of pages||19|
|Journal||Global Finance Journal|
|Publication status||Published - Dec 2006|