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A multivariate regime switching approach to the relation between the stock market, the interest rate and output

Kanas, Angelos (2008) A multivariate regime switching approach to the relation between the stock market, the interest rate and output. International Journal of Theoretical and Applied Finance, 11 (7). pp. 657-671. ISSN 0219-0249. (doi:10.1142/S021902490800497X) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1142/S021902490800497X

Abstract

This paper presents empirical evidence that the relation between stock returns, real activity and interest rates for the US is regime dependent. Fixed exchange rates, and interest rate targeting are associated with a regime in which the joint behavior of these three variables is characterized by low volatility, whilst monetary aggregates targeting is associated with a high volatility regime. Both the contemporaneous and the dynamic relations change across regimes. Regime-dependent dynamic effects arise from interest rates to real activity, from stock returns to real activity and interest rates, and from real activity to interest rates. Dynamic impulse responses also vary across regimes. © 2008 World Scientific Publishing Company.

Item Type: Article
DOI/Identification number: 10.1142/S021902490800497X
Uncontrolled keywords: Impulse responses, Proxy hypothesis, Regimes
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 13:53 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41147 (The current URI for this page, for reference purposes)
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