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

Harold Glenn Valera (), Mark Holmes () and Gazi Hassan ()

Applied Economics Letters, 2017, vol. 24, issue 11, 732-735

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.

Date: 2017
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DOI: 10.1080/13504851.2016.1223817

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