VoxEU Talk Financial Markets

Financial market interdependence

Francis X. Diebold of the University of Pennsylvania and Kamil Yilmaz of Koc University talk to Romesh Vaitilingam about their measure of financial asset return and volatility spillovers across global equity markets, described in the January 2009 Economic Journal. They discuss potential use of the index in macroeconomic policy; and application of the methodology to measure business cycle interdependence. The interview was recorded at the American Economic Association meetings in San Francisco in January 2009.