Stock market indices and interest rates in the US and Europe: persistence and long-run linkages

IF 2.3 Q2 BUSINESS, FINANCE

Studies in Economics and Finance Pub Date : 2024-02-23 DOI:10.1108/sef-06-2023-0304

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Eduard Melnicenco

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引用次数: 0

Abstract

Purpose

This paper aims to analyse the persistence of the S&P500 and DAX 30 stock indices as well as of the Fed’s Effective Federal Funds rate and of the European Central Bank’s Marginal Lending Facility rate, and the long-run linkages between stock prices and interest rates in the USA and Europe, respectively.

Design/methodology/approach

The methodology is based on the concepts of fractional integration and cointegration.

Findings

Using monthly data from January 1999 to December 2022, the results can be summarised as follows. All series examined are non-stationary: stock prices are found to be I(1) while interest rates display orders of integration substantially above 1, which implies a rejection of the hypothesis of mean reversion in all cases examined.

Originality/value

This paper uses an appropriate econometric framework to obtain new, reliable empirical evidence. All four series are highly persistent, and mean reversion does not occur in any single case. Moreover, the fractional cointegration analysis suggests that stock prices and interest rates are not linked in the long run.

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美国和欧洲的股市指数与利率：持续性与长期联系

本文旨在分析美国和欧洲的 S&P500 和 DAX 30 股票指数、美联储有效联邦基金利率和欧洲央行边际贷款利率的持续性，以及股票价格和利率之间的长期联系。所有考察的序列都是非平稳的：股票价格被发现是 I(1)，而利率的积分阶数大大高于 1，这意味着在所有考察的情况下都拒绝了均值回归的假设。所有四个序列都具有高度持久性，均值回归在任何一种情况下都不会发生。此外，分数协整分析表明，股票价格和利率在长期内没有联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Studies in Economics and Finance BUSINESS, FINANCE-

CiteScore

4.30

自引率

10.50%

发文量

期刊介绍： Topics addressed in the journal include: ■corporate finance, ■financial markets, ■money and banking, ■international finance and economics, ■investments, ■risk management, ■theory of the firm, ■competition policy, ■corporate governance.

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