Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

Artikel

This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates before and after these economies reached the Zero Lower Bound (ZLB), which is permitted via the use of Shadow Short Rates (SSR), used as a proxy for monetary policy decisions. The results based on daily data imply that while bi-directional causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as well as the sub-samples covering the pre- and during-ZLB periods.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Central Banking Theory and Practice ; ISSN: 2336-9205 ; Volume: 8 ; Year: 2019 ; Issue: 3 ; Pages: 39-50 ; Warsaw: De Gruyter Open

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Econometrics ; Interest Rates: Determination, Term Structure, and Effects
• Subject: Interest Rates ; Stock Markets ; Volatility Spillover.

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Donzwa, Wilson ; Gupta, Rangan ; Wohar, Mark E.
• Event: Veröffentlichung
• (who): De Gruyter Open
• (where): Warsaw
• (when): 2019

Further information

• DOI: doi:10.2478/jcbtp-2019-0023
• Handle: http://hdl.handle.net/10419/217684
• Last update: 10.03.2025, 11:44 AM CET