140
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Market Volatility Transmission and Central Banking: What Happened during the Subprime Crisis?

&
Pages 559-588 | Received 14 Nov 2013, Accepted 13 Mar 2014, Published online: 17 Apr 2014

References

  • Agrawal, A., & Tandon, K., (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance, 13(1), 83–106. doi: 10.1016/0261-5606(94)90026-4
  • Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market's reaction to federal reserve policy? Journal of Finance, American Finance Association, 60(3), 1221–1257.
  • Barone, E. (1990). The Italian stock market: Efficiency and calendar anomalies. Journal of Banking & Finance, 14(2–3), 483–510. doi: 10.1016/0378-4266(90)90061-6
  • Bauwens, L., Laurent, S., & Rombouts, J. (2003). Multivariate GARCH models: A survey. Journal of Applied Econometrics, 21 (1), 79–109. doi: 10.1002/jae.842
  • Bensafta, M. K. (2010). Non-stationary variance and volatility causality. Economics Bulletin, 30(4), 2920–2935.
  • Bensafta, M. K., & Semedo, G. (2009). De la Transmission de la Volatilité à la Contagion entre Marchés Boursiers: L’éclairage d'un modèle Var non linéaire avec Bris Structurels en Variance. Actualité Economique, 85(1), 12–76.
  • Berndt, E. K., Hall, B. H., Hal, R. E., & Hausman, J. A. (1974). Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3–4, 653–665.
  • Bernanke, B. S. (2004). Fed speak. Remarks Given at the Meetings of the American Economic Association, San Diego, 3 January 2004.
  • Bohl, M., Siklos, P., & Sondermann, D. (2008). European Stock Markets and the ECB's Monetary Policy Surprises. International Finance 11 (2), 117–130. doi: 10.1111/j.1468-2362.2008.00219.x
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307–327. doi: 10.1016/0304-4076(86)90063-1
  • Bollerslev, T., & Wooldridge, J. (1992). Quasi maximum likelihood estimation and inference in dynamic models with time-varying covariances. Economic Reviews, 11, 143–117. doi: 10.1080/07474939208800229
  • Clare, A., & Courtenay, R. (2001). What can we learn about monetary policy transparency from financial market data? Bundesbank Discussion Paper 06/01.
  • Connolly, E., & Kohler, M. (2004). News and interest rate expectations: A study of six central banks. RBA Annual Conference Volume. In C. Kent & S. Guttmann (Eds.), The Future of Inflation Targeting Reserve Bank of Australia. Retrieved from http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.391.7106&rep=rep1&type=pdf
  • Craine, R., & Martin, V. L. (2008). International monetary policy surprise spillovers. Journal of International Economics, 75(1), 180–196. doi: 10.1016/j.jinteco.2007.06.005
  • Edwards, S. (1998). Interest rate volatility, contagion and convergence: An empirical investigation of the cases of Argentina, Chile and Mexico. Journal of Applied Economics, 1(1), 55–86.
  • Eggertsson, G., & Woodford, M. (2003). The zero bound on interest rates and optimal monetary policy. Brookings Papers on Economic Activity, 2003, No. 1. Retrieved from http://www.brookings.edu/about/projects/bpea/papers/2003/zero-bound-interest-rates-monetary-policy-eggertsson
  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987–1007. doi: 10.2307/1912773
  • Engle, R. F., & Kroner, F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. doi: 10.1017/S0266466600009063
  • Engle R. F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749–1778. doi: 10.1111/j.1540-6261.1993.tb05127.x
  • Engle, R., & Sheppard, K. (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH. Discussion paper 2001-15. University of California, San Diego, Department of Economics.
  • Ehrmann, M., & Fratzscher, M. (2005). Central bank communication: Different strategies, same effectiveness? European Central Bank Working Paper 05–488 Frankfurt.
  • Ehrmann, M., & Fratzscher, M. (2007). Communication by central bank committee members: Different strategies, same effectiveness. Journal of Money, Credit, and Banking, 39, 509–541. doi: 10.1111/j.0022-2879.2007.00034.x
  • Ewing, B. T., & Malik, F. (2005). Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. Journal of Banking and Finance, 29, 2655–2673. doi: 10.1016/j.jbankfin.2004.10.002
  • Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance, 57, 2223–2261. doi: 10.1111/0022-1082.00494
  • Haldane, A., & Read, V. (2000). Monetary surprises and the yield curve. Bank of England Working Paper, 106 London.
  • Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3, 281–307. doi: 10.1093/rfs/3.2.281
  • Inclan, C., & Tiao, G. C. (1994). Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of the American Statistical Association, 89, 913–923.
  • Kohn, D., & Sack, B. (2003). Central bank talk: Does it matter and why? Federal Reserve Board Finance and Economics Discussion Series, 2003–55.
  • Koutmos, G., & Booth, G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14, 747–762. doi: 10.1016/0261-5606(95)00031-3
  • Kuttner, K. N. (2001). Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47, 523–544. doi: 10.1016/S0304-3932(01)00055-1
  • Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business and Economic Statistics, 8, 225–234.
  • Longin, F., & Solnik, B. (1995). Is the correlation in international equity returns constant: 1960–1990? Journal of International Money and Finance, 14(1), 3–26. doi: 10.1016/0261-5606(94)00001-H
  • Lütkepohl, H. (2005). New introduction to multiple time series analysis. Edition 2010. Berlin: Springer.
  • Malik, F. (2003). Sudden changes in variance and volatility persistence in foreign exchange markets. Journal of Multinational Financial Management, 13, 217–230. doi: 10.1016/S1042-444X(02)00052-X
  • McAleer, M., & Nam, J. C. (2005). Testing for contagion in Asian exchange rates. Mathematics and Computers in Simulation, 68, 519–527.
  • Ng A. (2000). Volatility spill-over effects from Japan and the U.S. to the Pacific-Basin. Journal of International Money and Finance, 19, 207–233. doi: 10.1016/S0261-5606(00)00006-1
  • Park, Y. C., & Song, C. Y. (2000). Financial contagion in the East Asian crisis. Korea University working paper.
  • Plane, M., & Pujals, G. (2009). Les banques dans la crise. Revue de l'OFCE, no. 110.
  • Reeves, R., & Sawicki, M. (2007). Do financial markets react to Bank of England communication? European Journal of Political Economy, 23, 207–227. doi: 10.1016/j.ejpoleco.2006.09.018
  • Ranaldo, A., & Rossi, E. (2010). The reaction of asset markets to Swiss National Bank communication. Journal of International Money and Finance, 29, 486–503. doi: 10.1016/j.jimonfin.2009.07.004
  • Sansó, A., Arago, V., & Carrion-i-Silvestre, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economia Financiera, 4, 32–53.
  • Solnik, B., & Bousquet, L. (1990). Day-of-the-week effect on the Paris Bourse. Journal of Banking and Finance, 14, 461–468. doi: 10.1016/0378-4266(90)90059-B
  • Tse, Y. K. (2000). A test for constant correlations in a multivariate GARCH model. Journal of Econometrics, 98(1), 107–127. doi: 10.1016/S0304-4076(99)00080-9
  • Tse, Y. K., & Tsui, A. K. C. (2002). A multivariate GARCH model with time-varying correlations. Journal of Business and Economic Statistics, 20, 351–362. doi: 10.1198/073500102288618496

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.