Did the global financial crisis alter equilibrium adjustment dynamics between the US Fed rates and stock price volatility in the SSA region?

Phiri, Andrew (2016): Did the global financial crisis alter equilibrium adjustment dynamics between the US Fed rates and stock price volatility in the SSA region?

Abstract

In this paper we use the recently introduced MTAR model to examine whether equilibrium adjustment dynamics between the US fed rates and stock market volatility in 5 SSA countries have changed from periods before the globally financial crisis (1999-2007) to periods after the crisis (2009-2015). We find that this relationship existed for all 5 SSA exchange before the crisis and yet for only 3 exchanges after the crisis. Furthermore, there exists a negative co-relationship between the time series before the crisis which turns positive afterwards. For periods before and after the crisis causality is found to run from stock market volatility in SSA countries to the Feds fund rate.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stock price volatility; monetary policy; global financial crisis; sub-Saharan Africa (SSA).
• Subjects: E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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