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International Evidence of Spillover Effects of Deposit Rates: A Multivariate Garch Model

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  • Fujen Daniel Hsiao
  • Yan Hu

Abstract

This paper uses the multivariate GARCH methodology to investigate spillover effects of deposit rates and its volatility among the United States, Japan and German. Empirical results show that multivariate GARCH (1,1) is appropriate and the deposit rate of one country is affected by the domestic long-term government bond yield and money market rate. We find at the mean level, the deposit rate transmission is from Japan to Germany, the United States to Germany and Germany to Japan. At the volatility level, deposit rate volatility spillover is from Germany to Japan, from the United Sates to Japan, and from Germany to the United States. Our findings contribute to the deposit rate literature of transmission and spillover effect.

Suggested Citation

  • Fujen Daniel Hsiao & Yan Hu, 2014. "International Evidence of Spillover Effects of Deposit Rates: A Multivariate Garch Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(1), pages 31-44.
    • Handle: RePEc:ibf:ijbfre:v:8:y:2014:i:1:p:31-44
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    More about this item

    Keywords

    Deposit Rate; Multivariate GARCH; Transmission; Spillover; Mean; Volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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