Authors: Priti Verma Dave O Jackson
Publish Date: 2007/11/01
Volume: 32, Issue: 2, Pages: 105-118
Abstract
We use the multivariate extension of Exponential Generalized Autoregressive Conditionally Heteroscedastic EGARCH of Nelson Econometrica 59 347–370 1991 to test for spillover effects and examine the extent of asymmetries between short and longterm interest rates and portfolios of money center large and mediumsize banks in the US Our results indicate the existence of price and volatility spillovers from short and longterm interest rates to the three bank portfolios We also provide evidence of response asymmetries for the portfolios of money center and large banks suggesting that money center and large banks are more sensitive to negative than positive short and longterm interest rate changes
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