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dc.contributor.authorStein, Michaelen
dc.contributor.authorIslami, Mevluden
dc.contributor.authorLindemann, Jensen
dc.date.accessioned2012-10-04-
dc.date.accessioned2012-10-11T12:59:45Z-
dc.date.available2012-10-11T12:59:45Z-
dc.date.issued2012-
dc.identifier.isbn978-3-86558-846-3en
dc.identifier.urihttp://hdl.handle.net/10419/64818-
dc.description.abstractThe correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables. Furthermore, we provide evidence for both large changes in correlation, as well as for the existence of regimes between which correlation may move. Our result of a dominant time factor indicates a transition in market structures over time, which is in line with observations in the markets and which may be seen as an explanation for previously differing results.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aBundesbank Discussion Paper |x24/2012en
dc.subject.jelC32en
dc.subject.jelC58en
dc.subject.ddc330en
dc.subject.keywordtime-varying correlationen
dc.subject.keywordregime transitionen
dc.subject.keywordmultivariate GARCHen
dc.subject.keywordsmooth transitionen
dc.subject.keywordcross-asset correlationen
dc.subject.keywordnon-linear estimationen
dc.titleIdentifying time variability in stock and interest rate dependence-
dc.typeWorking Paperen
dc.identifier.ppn726800678en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdps:242012en

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