Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64818
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dc.contributor.authorStein, Michaelen_US
dc.contributor.authorIslami, Mevluden_US
dc.contributor.authorLindemann, Jensen_US
dc.date.accessioned2012-10-04en_US
dc.date.accessioned2012-10-11T12:59:45Z-
dc.date.available2012-10-11T12:59:45Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-846-3en_US
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_US
dc.language.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aDiscussion Paper, Deutsche Bundesbank |x24/2012en_US
dc.subject.jelC32en_US
dc.subject.jelC58en_US
dc.subject.ddc330en_US
dc.subject.keywordtime-varying correlationen_US
dc.subject.keywordregime transitionen_US
dc.subject.keywordmultivariate GARCHen_US
dc.subject.keywordsmooth transitionen_US
dc.subject.keywordcross-asset correlationen_US
dc.subject.keywordnon-linear estimationen_US
dc.titleIdentifying time variability in stock and interest rate dependenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn726800678en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:242012-

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