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

页码：732 / 735

页数：4

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