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Title: Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
Citation: Panoeconomicus, 2010, 57, 4, 429-445
Abstract: By estimating bivariate EGARCH (2, 1) models, we find significant short run dynamic relations between stock market and real activity for the UK and the US over the period 1970-2002. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country, implying stronger interdependencies in UK rather than in US. Volatility spillovers, transmitted via the balance sheet channel, are found to be asymmetric only in the case of UK. Namely, a negative shock in the stock market increases volatility in the real economy more than a positive shock.
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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