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The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China

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  • Ching-Chun Wei

    (Department of Fiance, Providence Univesity)

Abstract

Empirical results found the parameter estimates for the CCC-MGARCH models display that the short run persistence is positive and significant and the positive and significant ARCH and GARCH term show the ARCH and GARCH effect exist in these models. By concerning the correlations of bank reserve rate and discount rate to industrial production index, the correlation is positive and statistically significant for those variables. It indicated that China monetary policy have a positive impact to industrial production. The parameters estimates for DCC-MGARCH(1.1) model for China monetary policy to industrial production index and stock markets show the short-run persistence is positive significantly and at DCC(1.1) parameters. The sum of the DCC(1.1) parameter is less than one which implies that the model is strictly mean reverting.

Suggested Citation

  • Ching-Chun Wei, 2008. "The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China," Economics Bulletin, AccessEcon, vol. 3(65), pages 1-14.
    • Handle: RePEc:ebl:ecbull:eb-08c30066
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    References listed on IDEAS

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    Cited by:

    1. Lidiema, Caspah, 2018. "Intra-market linkages in the financial sector and their effects on financial inclusion," KBA Centre for Research on Financial Markets and Policy Working Paper Series 28, Kenya Bankers Association (KBA).

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    More about this item

    Keywords

    interest rate variables;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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