Did the global financial crisis alter equilibrium adjustment dynamics between the US federal fund fund rates and stock price volatility in the SSA region?

Andrew Phiri

Economics Bulletin, 2016, vol. 36, issue 2, 778-788

Abstract: In this paper we use the recently introduced MTAR model to examine whether equilibrium adjustment dynamics between the US federal fund rates and stock market volatility in 5 SSA countries have changed from periods before the globally financial crisis (1999-2007) to periods after the crisis (2009-2015). We find that this relationship existed for all 5 SSA exchange before the crisis and yet for only 3 SSA exchanges after the crisis. In particular, there exists a negative co-relationship between the federal fund rates and stock market volatility before the crisis and this relationship generally turns positive in periods subsequent to the crisis. Moreover, causality is found to run from stock market volatility to the US federal fund rates in both sample periods.

Keywords: Stock price volatility; monetary policy; global financial crisis; sub-Saharan Africa (SSA). (search for similar items in EconPapers)
JEL-codes: E4 G0 (search for similar items in EconPapers)
Date: 2016-04-29
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Citations: View citations in EconPapers (3)

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