Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
AbstractBy estimating bivariate EGARCH (2, 1) models, we find significant short run dynamic relations between stock market and real activity for the UK and the US over the period 1970-2002. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in UK rather than in US. Volatility spillovers, transmitted via the balance sheet channel, are found to be asymmetric only in the case of UK. Namely, a negative shock in the stock market increases volatility in the real economy more than a positive shock.
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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 0807.
Length: 17 pages
Date of creation: 20 Jun 2008
Date of revision:
Stock market; real activity; volatility spillovers; UK; US;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-17 (All new papers)
- NEP-FMK-2008-05-17 (Financial Markets)
- NEP-MAC-2008-05-17 (Macroeconomics)
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