Arbeitspapier
Identifying time variability in stock and interest rate dependence
The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables. Furthermore, we provide evidence for both large changes in correlation, as well as for the existence of regimes between which correlation may move. Our result of a dominant time factor indicates a transition in market structures over time, which is in line with observations in the markets and which may be seen as an explanation for previously differing results.
- ISBN
-
978-3-86558-846-3
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 24/2012
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
- Thema
-
time-varying correlation
regime transition
multivariate GARCH
smooth transition
cross-asset correlation
non-linear estimation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stein, Michael
Islami, Mevlud
Lindemann, Jens
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Stein, Michael
- Islami, Mevlud
- Lindemann, Jens
- Deutsche Bundesbank
Entstanden
- 2012
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