Stock market uncertainty and interest rate behaviour: a panel GARCH approach

被引：11
|
作者：
Valera, Harold Glenn A. [1 ]
Holmes, Mark J. [1 ]
Hassan, Gazi [1 ]
机构：
[1] Univ Waikato, Dept Econ, Hamilton, New Zealand
来源：
APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 11期
关键词：
Monetary policy rules; stock market uncertainty; GARCH; panel data; C33; E40; E58; CONSISTENT COVARIANCE-MATRIX; HETEROSKEDASTICITY;
D O I：
10.1080/13504851.2016.1223817
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a dynamic panel GARCH model for Asian countries, we find that interest rates are significantly lower when stock market uncertainty is high. Evidence of a positive relationship between stock market uncertainty and interest rate volatility is also provided.
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页码：732 / 735
页数：4
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