Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217684 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 8 [Issue:] 3 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2019 [Pages:] 39-50
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates before and after these economies reached the Zero Lower Bound (ZLB), which is permitted via the use of Shadow Short Rates (SSR), used as a proxy for monetary policy decisions. The results based on daily data imply that while bi-directional causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as well as the sub-samples covering the pre- and during-ZLB periods.
Subjects: 
Interest Rates
Stock Markets
Volatility Spillover.
JEL: 
C32
C58
E43
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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