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

Fujen Daniel Hsiao and Yan Hu

The International Journal of Business and Finance Research, 2014, vol. 8, issue 1, 31-44

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.

Keywords: Deposit Rate; Multivariate GARCH; Transmission; Spillover; Mean; Volatility (search for similar items in EconPapers)
JEL-codes: G15 G21 (search for similar items in EconPapers)
Date: 2014
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