Financial links between the stock market and the debt securities market

Francisco Eduardo de Luna e Almeida Santos ()
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Francisco Eduardo de Luna e Almeida Santos: Banco Central do Brasil

Brazilian Review of Finance, 2008, vol. 6, issue 1, 1-11

Abstract: The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identification through heteroskedasticity. Both coefficients were found to be negative which is consistent with the notion that, given an opportunity cost of capital, the returns move in opposite directions in order to promote the equilibrium of the capital ow. However, only the coefficient that measures the impact of bond market over stock markets was significantly different from zero. Thus, the intensity of this relationship also depends on the relative size of the markets under study.

Keywords: strucutual VAR; identification; heteroscedasticity; stock market; securities market (search for similar items in EconPapers)
JEL-codes: E4 E5 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:6:y:2008:i:1:p:1-11

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