A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries
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| Format: | Artículo científico |
| Language: | en |
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Universidad ESAN
2017
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| _version_ | 1876457460741439488 |
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| author | Nara Rossetti |
| author_facet | Nara Rossetti |
| contents | A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries Nara Rossetti Marcelo Seido Nagano Jorge Luis Faria Meirelles Multidisciplinarias (Ciencias Sociales) ARCH Volatility GARCH models Fixed income Emerging countries Purpose – This paper aims to analyse the volatility of the fi xed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market. Design/methodology/approach – To the volatility of interest rates returns, the study used models of auto-regressive conditional heteroscedasticity, autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroscedasticity (EGARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and periodic generalized autoregressive conditional heteroscedasticity (PGARCH), and a combination of these with autoregressive integrated moving average (ARIMA) models, checking which of these processes were more ef fi cient in capturing volatility of interest rates of each of the sample countries. Findings – The results suggest that for most markets, studied volatility is best modelled by asymmetric GARCH processes – in this case the EGARCH – demonstrating that bad news leads to a higher increase in the volatility of these markets than good news. In addition, the causes of increased volatility seem to be more associated with events occurring internally in each country, as changes in macroeconomic policies, than the overall external events. Originality/value – It is expected that this study has contributed to a better understanding of the volatility of interest rates and the main factors affecting this market. 2017 artículo científico 2077-1886 https://www.redalyc.org/articulo.oa?id=360752107007 https://www.redalyc.org/journal/3607/360752107007/ https://www.redalyc.org/journal/3607/360752107007/html/ https://www.redalyc.org/journal/3607/360752107007/360752107007.epub https://www.redalyc.org/journal/3607/360752107007/movil en http://www.redalyc.org/revista.oa?id=3607 Journal of Economics, Finance and Administrative Science application/pdf Universidad ESAN Journal of Economics, Finance and Administrative Science (Perú) Num.42 Vol.22 |
| format | Artículo científico |
| id | redalyc_360752107007 |
| institution | Redalyc |
| language | en |
| publishDate | 2017 |
| publisher | Universidad ESAN |
| spellingShingle | A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries Nara Rossetti Multidisciplinarias (Ciencias Sociales) ARCH Volatility GARCH models Fixed income Emerging countries A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries Nara Rossetti Marcelo Seido Nagano Jorge Luis Faria Meirelles Multidisciplinarias (Ciencias Sociales) ARCH Volatility GARCH models Fixed income Emerging countries Purpose – This paper aims to analyse the volatility of the fi xed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market. Design/methodology/approach – To the volatility of interest rates returns, the study used models of auto-regressive conditional heteroscedasticity, autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroscedasticity (EGARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and periodic generalized autoregressive conditional heteroscedasticity (PGARCH), and a combination of these with autoregressive integrated moving average (ARIMA) models, checking which of these processes were more ef fi cient in capturing volatility of interest rates of each of the sample countries. Findings – The results suggest that for most markets, studied volatility is best modelled by asymmetric GARCH processes – in this case the EGARCH – demonstrating that bad news leads to a higher increase in the volatility of these markets than good news. In addition, the causes of increased volatility seem to be more associated with events occurring internally in each country, as changes in macroeconomic policies, than the overall external events. Originality/value – It is expected that this study has contributed to a better understanding of the volatility of interest rates and the main factors affecting this market. 2017 artículo científico 2077-1886 https://www.redalyc.org/articulo.oa?id=360752107007 https://www.redalyc.org/journal/3607/360752107007/ https://www.redalyc.org/journal/3607/360752107007/html/ https://www.redalyc.org/journal/3607/360752107007/360752107007.epub https://www.redalyc.org/journal/3607/360752107007/movil en http://www.redalyc.org/revista.oa?id=3607 Journal of Economics, Finance and Administrative Science application/pdf Universidad ESAN Journal of Economics, Finance and Administrative Science (Perú) Num.42 Vol.22 |
| title | A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries |
| topic | Multidisciplinarias (Ciencias Sociales) ARCH Volatility GARCH models Fixed income Emerging countries |
| url | https://www.redalyc.org/articulo.oa?id=360752107007 https://www.redalyc.org/journal/3607/360752107007/ https://www.redalyc.org/journal/3607/360752107007/html/ https://www.redalyc.org/journal/3607/360752107007/360752107007.epub https://www.redalyc.org/journal/3607/360752107007/movil |