TY - JOUR
T1 - Directional predictability between interest rates and the Stoxx 600 Banks index
T2 - A quantile approach
AU - Joaqui-Barandica, Orlando
AU - Oviedo-Gómez, Andres
AU - Manotas-Duque, Diego F.
N1 - Publisher Copyright:
© 2023 Elsevier Inc.
PY - 2023/12
Y1 - 2023/12
N2 - This paper examines the relationship between the World Interest Rate (WIR) and the Stoxx 600 Banks index (SX7P) using a quantile approach and cross-quantilogram. The results reveal that the Stoxx 600 Banks index strongly predicts the WIR when its index is low, and the WIR significantly influences the SX7P when it is high. The study demonstrates that during a global crisis, the Stoxx 600 Banks index receives shocks, while the WIR acts as a transmitter. The study provides valuable insights into the cyclical pattern and complex relationship between WIR and SX7P, benefiting policymakers, investors, and financial analysts.
AB - This paper examines the relationship between the World Interest Rate (WIR) and the Stoxx 600 Banks index (SX7P) using a quantile approach and cross-quantilogram. The results reveal that the Stoxx 600 Banks index strongly predicts the WIR when its index is low, and the WIR significantly influences the SX7P when it is high. The study demonstrates that during a global crisis, the Stoxx 600 Banks index receives shocks, while the WIR acts as a transmitter. The study provides valuable insights into the cyclical pattern and complex relationship between WIR and SX7P, benefiting policymakers, investors, and financial analysts.
KW - Cross-quantilogram
KW - Developed economies
KW - Systemic risk
KW - Quantile vector autoregression
UR - https://doi.org/10.1016/j.frl.2023.104328
U2 - 10.1016/j.frl.2023.104328
DO - 10.1016/j.frl.2023.104328
M3 - Article
SN - 1544-6123
VL - 58
JO - Finance Research Letters
JF - Finance Research Letters
IS - Part A
M1 - 104328
ER -