Interest rate sensitivity of the European stock markets before and after the euro introduction

Monetary Policy and Stock Markets: Evidence from EU Countries

“…The finding are consistent with the results of past literature that in some countries the no long-run co-integration relationship between interest rate and stock prices exist (Korkeamäki, 2011), while in other cases the long-run co-integration between the two variables exist (Adam and Tweneboah, 2008;Pal and Mittal, 2011). However, when we took into consideration the post-crisis period, the situation is different, highlighting the fact that this dynamics exist amongst the two variables in twenty countries.…”

“…In the rest of the cases the two variables are not co-integrated. In the same sense, Korkeamäki (2011) find that while stock returns in most countries in the Western Europe were negatively correlated with interest rate changes prior to the euro, that correlation has disappeared since 1999.…”

Time-varying systematic and idiosyncratic risk exposures of US bank holding companies

“…In the context of a small number of regressors, the sequential technique has been widely applied in the empirical literature (Flannery and James, 1984;Fraser et al, 2002;Korkeamäki, 2011;Knaup and Wagner, 2012). These studies, however, focus on the orthogonalization of only one factor instead of addressing the complexity of using the sequential procedure for a larger number of variables.…”

Exchange Rate and Interest Rate Exposure of UK Industries Using First‐order Autoregressive Exponential GARCH‐in‐mean (EGARCH‐M) Approach

“…Bartram and Karolyi (2006) explain that the reduction of foreign exchange rate risk would be beneficial for European firms and also firms that undertake a significant level of trade or investments in Europe. Additionally, Korkeamäki (2011) noted that with the single currency, European corporate bonds markets, which were previously limited in size and scope have witnessed significant growth; thereby euro firms and even EU countries are able to manage interest rate risk more effectively. Ballester et al (2011) also posit that the euro should bring about greater financial stability due to the common monetary policy and enlargement of the capital markets.…”

“…Ballester et al (2011) also posit that the euro should bring about greater financial stability due to the common monetary policy and enlargement of the capital markets. Following on Morana and Beltratti (2002), Sfakianakis (2002), Bris et al (2006), Simpson and Dania (2006), Korkeamäki (2007), Nguyen et al (2007), Hutson and O'Driscoll (2010) and Korkeamäki (2011), the period after the euro is chosen to start from 1 January 1999.…”