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Stock market uncertainty and interest rate behaviour: a panel GARCH approach

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  • Harold Glenn A. Valera
  • Mark J. Holmes
  • Gazi Hassan

Abstract

Using a dynamic panel GARCH model for Asian countries, we find that interest rates are significantly lower when stock market uncertainty is high. Evidence of a positive relationship between stock market uncertainty and interest rate volatility is also provided.

Suggested Citation

  • Harold Glenn A. Valera & Mark J. Holmes & Gazi Hassan, 2017. "Stock market uncertainty and interest rate behaviour: a panel GARCH approach," Applied Economics Letters, Taylor & Francis Journals, vol. 24(11), pages 732-735, June.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:11:p:732-735
    DOI: 10.1080/13504851.2016.1223817
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    References listed on IDEAS

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    1. Frederic S. Mishkin, 2009. "Is Monetary Policy Effective during Financial Crises?," American Economic Review, American Economic Association, vol. 99(2), pages 573-577, May.
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    Cited by:

    1. Wilson Donzwa & Rangan Gupta & Mark E. Wohar, 2019. "Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 8(3), pages 39-50.
    2. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
    3. Xin Li & Chi-Wei Su & Zheng Li & Muhammad Umar, 2023. "What threatens stock market returns under the COVID-19 crisis in China: the pandemic itself or the media hype around it?," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 36(2), pages 2106272-210, December.
    4. Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
    5. Ahmet Ihsan Kaya & Lutfi Erden, 2023. "Capital‐flow volatility in emerging markets: A panel GARCH approach," International Finance, Wiley Blackwell, vol. 26(2), pages 172-188, August.
    6. Ruipeng Liu & Rangan Gupta, 2022. "Investors’ Uncertainty and Forecasting Stock Market Volatility," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 327-337, July.
    7. Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018. "Is inflation targeting credible in Asia? A panel GARCH approach," Empirical Economics, Springer, vol. 54(2), pages 523-546, March.
    8. Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.

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