出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The correlation between stock markets and interest rates has been discussed in numerous studies in the past,with differing results in 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 time-varying correlation complement each other in identifying time-varying patterns found in the(co)-movement between the variables.Furthermore,the authors provide evidence for both large changes in correlation,as well as for the existence of regimes between which correlation may move.The 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 the explanation of previously differing results.
