The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach
International Journal of Economics, Finance and Management Sciences
Volume 1, Issue 3, June 2013, Pages: 166-174
Received: Jun. 17, 2013; Published: Jul. 20, 2013
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Authors
Serpil Türkyılmaz, Bilecik Şeyh Edebali University, Faculty of Science&Art, Department of Mathematics, Bilecik, Turkey
Mesut Balıbey, Bilecik Şeyh Edebali University, Faculty of Science&Art, Department of Mathematics, Bilecik, Turkey
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Abstract
This paper employs a BEKK-MGARCH model approach to generate the conditional variances of monthly stock exchange prices, exchange rates and interest rates for Turkey. For the sample period 2002:M1-2009:M1, before the effects of global economic crisis hit Turkey, the results indicate a significant transmission of shocks and volatility among these three financial sectors.
Keywords
BEKK-MGARCH Model, Volatility Transmission, Conditional Variance
To cite this article
Serpil Türkyılmaz, Mesut Balıbey, The Relationships among Interest Rate, Exchange Rate and Stock Price: A BEKK - MGARCH Approach, International Journal of Economics, Finance and Management Sciences. Vol. 1, No. 3, 2013, pp. 166-174. doi: 10.11648/j.ijefm.20130103.16
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