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Volatility spillovers between interest rates and equity markets of developed economies
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| Veröffentlicht in: | Journal of central banking theory and practice 8(2019), 3 vom: Sept., Seite 39-50 |
|---|---|
| Personen und Körperschaften: | , , |
| Titel: | Volatility spillovers between interest rates and equity markets of developed economies/ Wilson Donzwa, Rangan Gupta, Mark E. Wohar |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2019
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| Gesamtaufnahme: |
: Journal of central banking theory and practice, 8(2019), 3 vom: Sept., Seite 39-50
, volume:8 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a 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 bidirectional 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. | ||
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| contents | 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 bidirectional 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. |
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| spelling | Donzwa, Wilson VerfasserIn aut, Volatility spillovers between interest rates and equity markets of developed economies Wilson Donzwa, Rangan Gupta, Mark E. Wohar, 2019, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, 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 bidirectional 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., Aufsatz in Zeitschrift DE-206, Gupta, Rangan VerfasserIn (DE-588)137699832 (DE-627)594320526 (DE-576)304849448 aut, Wohar, Mark E. VerfasserIn (DE-588)129083569 (DE-627)388713739 (DE-576)297485210 aut, Enthalten in Journal of central banking theory and practice Warsaw : De Gruyter Open, 2012 8(2019), 3 vom: Sept., Seite 39-50 Online-Ressource (DE-627)721934412 (DE-600)2675850-7 (DE-576)36975459X 2336-9205 nnns, volume:8 year:2019 number:3 month:09 pages:39-50, https://doi.org/10.2478/jcbtp-2019-0023 Resolving-System kostenfrei Volltext, https://content.sciendo.com/downloadpdf/journals/jcbtp/8/3/article-p39.xml Verlag kostenfrei Volltext, http://hdl.handle.net/10419/217684 Resolving-System kostenfrei, http://creativecommons.org/licenses/by-nc-nd/4.0 Verlag Terms of use, https://doi.org/10.2478/jcbtp-2019-0023 LFER, https://content.sciendo.com/downloadpdf/journals/jcbtp/8/3/article-p39.xml LFER, LFER 2020-02-17T00:00:00Z |
| spellingShingle | Donzwa, Wilson, Gupta, Rangan, Wohar, Mark E., Volatility spillovers between interest rates and equity markets of developed economies, 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 bidirectional 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., Aufsatz in Zeitschrift |
| title | Volatility spillovers between interest rates and equity markets of developed economies |
| title_auth | Volatility spillovers between interest rates and equity markets of developed economies |
| title_full | Volatility spillovers between interest rates and equity markets of developed economies Wilson Donzwa, Rangan Gupta, Mark E. Wohar |
| title_fullStr | Volatility spillovers between interest rates and equity markets of developed economies Wilson Donzwa, Rangan Gupta, Mark E. Wohar |
| title_full_unstemmed | Volatility spillovers between interest rates and equity markets of developed economies Wilson Donzwa, Rangan Gupta, Mark E. Wohar |
| title_in_hierarchy | Volatility spillovers between interest rates and equity markets of developed economies / Wilson Donzwa, Rangan Gupta, Mark E. Wohar, |
| title_short | Volatility spillovers between interest rates and equity markets of developed economies |
| title_sort | volatility spillovers between interest rates and equity markets of developed economies |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | https://doi.org/10.2478/jcbtp-2019-0023, https://content.sciendo.com/downloadpdf/journals/jcbtp/8/3/article-p39.xml, http://hdl.handle.net/10419/217684, http://creativecommons.org/licenses/by-nc-nd/4.0 |