The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China

Ching-Chun Wei ()
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Ching-Chun Wei: Department of Fiance, Providence Univesity

Economics Bulletin, 2008, vol. 3, issue 65, 1-14

Abstract: Empirical results found the parameter estimates for the CCC-MGARCH models display that the short run persistence is positive and significant and the positive and significant ARCH and GARCH term show the ARCH and GARCH effect exist in these models. By concerning the correlations of bank reserve rate and discount rate to industrial production index, the correlation is positive and statistically significant for those variables. It indicated that China monetary policy have a positive impact to industrial production. The parameters estimates for DCC-MGARCH(1.1) model for China monetary policy to industrial production index and stock markets show the short-run persistence is positive significantly and at DCC(1.1) parameters. The sum of the DCC(1.1) parameter is less than one which implies that the model is strictly mean reverting.

Keywords: interest; rate; variables (search for similar items in EconPapers)
JEL-codes: E4 (search for similar items in EconPapers)
Date: 2008-10-10
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Citations: View citations in EconPapers (1)

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