Survey
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
Systemic risk wikipedia , lookup
Financialization wikipedia , lookup
Debt settlement wikipedia , lookup
Debt collection wikipedia , lookup
First Report on the Public Credit wikipedia , lookup
Debtors Anonymous wikipedia , lookup
Market (economics) wikipedia , lookup
Debt bondage wikipedia , lookup
Stock selection criterion wikipedia , lookup
Proceedings of 29th International Business Research Conference 24 - 25 November 2014, Novotel Hotel Sydney Central, Sydney, Australia, ISBN: 978-1-922069-64-1 The 2011 US Debt Ceiling Debacle – Multivariate GARCH-in-Mean Analysis Bruce Q. Budd1 and Declan McCrohan2 Using GARCH-in-Mean model, data from the ten largest holders of US Treasuries at the time of the debt ceiling negotiations of 2011 are analyzed to measure the impact of the signal being sent from the US market to foreign capital markets. Results suggest the impact of the signal being sent from the US market to most of these countries is statistically significant and negative on the stock returns, showing particular severity for Taiwan and UK markets. Results further suggest that the time varying trend in the variance and volatility increase during the debt ceiling period are statistically significant for most countries. Each country’s US debt proportion to GDP ratio of their financial dependence with US market, as measured by the average correlation, revealed a low coefficient during the debt ceiling period. This indicated there was no evidence to show that the more integrated a country’s market performance is with the US market the greater the spillover effect. JEL Codes: F34, G10 1 2 Dr. Bruce Q. Budd, College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia. [email protected] Dr. Declan McCrohan, College of Business, Alfaisal University, Riyadh, Kingdom of Saudi Arabia.