Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

1. Angelovska-Bezhoska, A., Mitreska, A., and Bojcheva-Terzijan, S. (2018). The Impact of the ECB’s Quantitative Easing Policy on Capital Flows in the CESEE Region. Journal of Central Banking Theory and Practice, 7(2), 25-48.10.2478/jcbtp-2018-0011Search in Google Scholar

2. Bilal, M. (2017). Zeroing In: Asset Pricing Near the Zero Lower Bound. 2017 Meeting Papers 377, Society for Economic Dynamics.10.2139/ssrn.2897926Search in Google Scholar

3. Cheung, Y., & Ng, L. (1996). A causality in variance test and its application to financial market prices. Journal of Econometrics 72(1-2), 33-48.10.1016/0304-4076(94)01714-XSearch in Google Scholar

4. Chuliá, H., Gupta, R., Uribe, J., and Wohar, M.E. (2017). Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. Journal of International Financial Markets, Institutions and Money 48, 178-191.10.1016/j.intfin.2016.12.003Search in Google Scholar

5. Damjanović, M., and Masten, I. (2016). Shadow short rate and monetary policy in the Euro area. Empirica 43(2), 279.10.1007/s10663-016-9328-4Search in Google Scholar

6. Deng, J.L., 1982. Control problems of grey system. System and Control Letters 1, 288-294.10.1016/S0167-6911(82)80025-XSearch in Google Scholar

7. Hafner, C., and Herwartz, H. (2006). A Lagrange multiplier test for causality in variance. Economics Letters, 93, 137-141.10.1016/j.econlet.2006.04.008Search in Google Scholar

8. Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics 103(1-2), 183-224.10.1016/S0304-4076(01)00043-4Search in Google Scholar

9. Jakl, J. (2016). Impact of Quantative Easing on Purchased Asset Yields, its Persistency and Overlap. Journal of Central Banking Theory and Practice, 6(2), 77-99.10.1515/jcbtp-2017-0014Search in Google Scholar

10. Krippner, L. (2013). A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models. Discussion Paper, Reserve Bank of New Zealand, 2013/02.10.2139/ssrn.2310990Search in Google Scholar

11. Meinusch, A., and Tillmann, P. (2016). The Macroeconomic Impact of Unconventional Monetary Policy Shocks. Journal of Macroeconomics, special issue on “What Monetary Policy Can and Cannot Do”, 47, 58-67.10.1016/j.jmacro.2015.11.002Search in Google Scholar

12. Nasir, M. A., Soliman, A., Yago, M., and Wu, J. (2016). Macroeconomic Policies Interactions & the Symmetry of Financial Marke t Responses. Journal of Central Banking Theory and Practice, 5(1), 53-69.10.1515/jcbtp-2016-0003Search in Google Scholar

13. Pástor, L., and Veronesi, P. (2012). Uncertainty about government policy and stock prices. Journal of Finance 67, 1219--1264.10.1111/j.1540-6261.2012.01746.xSearch in Google Scholar

14. Rajan, R. G. (2006). Has Finance Made the World Riskier? European Financial Management 12, 499-533.10.1111/j.1468-036X.2006.00330.xOpen DOISearch in Google Scholar

15. Wu, J-C., and Xia, F-D. (2016). Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound. Journal of Money, Credit, and Banking, 48(2-3), 253-291.10.1111/jmcb.12300Open DOISearch in Google Scholar

16. Valera, H.A.G., Holmes, M.J, and Gazi, H. (2017). Stock market uncertainty and interest rate: A Panel GARCH Approach. Applied Economics Letters, 24(11), 732-735.10.1080/13504851.2016.1223817Search in Google Scholar

17. Xu, J. (2007). Interest rate uncertainty and stock market volatility. (Unpublished master thesis), Singapore Management University, Singapore.Search in Google Scholar