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.
引用
收藏
页码：732 / 735
页数：4
相关论文
共 50 条
  • [31] Economic uncertainty and stock market asymmetric volatility: analysis based on the asymmetric GARCH-MIDAS model
    Wang, Zaifeng
    Xing, Tiancai
    Wang, Xiao
    INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2024,
  • [32] MARKET DISCIPLINE, BANK SUBORDINATED DEBT, AND INTEREST-RATE UNCERTAINTY
    CAKICI, N
    CHATTERJEE, S
    JOURNAL OF BANKING & FINANCE, 1993, 17 (04) : 747 - 762
  • [33] Geopolitical risk and stock market volatility in emerging markets: A GARCH-MIDAS approach
    Salisu, Afees A.
    Ogbonna, Ahamuefula E.
    Lasisi, Lukman
    Olaniran, Abeeb
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 62
  • [34] Dow Jones sustainability index transmission to oil stock market returns: A GARCH approach
    Schaeffer, Roberto
    Borba, Bruno S. M. C.
    Rathmann, Regis
    Szklo, Alexandre
    Castelo Branco, David A.
    ENERGY, 2012, 45 (01) : 933 - 943
  • [35] Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
    Girardin, Eric
    Joyeux, Roselyne
    ECONOMIC MODELLING, 2013, 34 : 59 - 68
  • [36] Market Reactions to Central Bank Interest Rate Changes: Evidence from the Chinese Stock Market*
    Hu, Jun
    Jiang, George J.
    Pan, Guanzhong
    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2020, 49 (05) : 803 - 831
  • [37] Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis
    Mouna A.
    Anis J.
    Journal of the Knowledge Economy, 2017, 8 (3) : 898 - 915
  • [38] Uncovered interest rate parity: A gravity-panel approach
    Orellana, Vanessa
    Pino, Gabriel
    HELIYON, 2021, 7 (11)
  • [39] Measuring uncertainty in the stock market
    Chulia, Helena
    Guillen, Montserrat
    Uribe, Jorge M.
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 48 : 18 - 33
  • [40] Uncertainty of stock market price behaviour and monetary policy: Evidence from Nigeria
    Onanuga, Abayomi Toyin
    AESTIMATIO-THE IEB INTERNATIONAL JOURNAL OF FINANCE, 2018, (16): : 2 - +
12345