Title: A Discussion on Whether Financial Contagion Exists Between US Financial Markets from 2006 to 2011
Abstract: Financial crises have a devastating impact on the worldwide economy.They can not only spread across different countries, but can also be contagious across different financial markets within a country.This paper will use the financial risk data from 2006 to 2011 to investigate the financial transmission mechanism in the US among the bond market, the foreign exchange market and the stock market by constructing a VEC model.The aim of this paper is to find whether financial contagion can be found between these three financial markets in the US and how risk spreads between them.Furthermore, the empirical conclusion of this paper shows that there really exists contagion between the different financial markets, and it can provide important theoretical basis to against the financial risk contagion between these three financial markets.