Research Discussion Paper – RDP 9301 The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities

Contents

• Introduction
• Stock Price Volatilities and Correlations
• Exchange Rate Volatilities and Correlations
• Bond Yield Volatilities and Correlations
• Conclusion
• References

The views expressed herein are those of the author and do not necessarily reflect the views of the Reserve Bank of Australia. This paper was written during a visit by Professor McNelis (Georgetown University, Washington D.C.) to the Reserve Bank of Australia.