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Purpose: This study aims to attempt to understand the joint co-movement of bank deposit rate and its main underlying determinants (foreign exchange rate (FX) rate, cross-currency swap rate and implied forward rate). The authors also compare time and frequency variant approaches in this dynamic. Design/methodology/approach: The authors examine bank deposit rates where multiple variables jointly interact, and the integration is time and frequency variant. The study applies both cointegration and wavelet coherence methods and conducts a comparative analysis. It investigates eight markets over 2005–2020 aiming to capture the impact of changing market conditions and degree of development. Findings: The results are in line with cross-country interdependence, where we observe more robust evidence for co-movement during adverse economic conditions with higher correlation compared to other periods such as the 2007–2009 US mortgage crises, 2010–2012 Euro crises and 2019 pandemic. Moreover, wavelet analysis suggests deposit rate lags FX rate and leads cross-country swap rate. The USA arguably leads the co-movement accompanied briefly by Japan and followed closely by other developed markets and later the developing markets. Heat maps suggest clustering of countries. Practical implications: The wavelet coherence's ability to indicate the periods and the frequencies of the relationship is essential to capture the true nature of the relationship. Such additional insight would enable the practitioners to determine the true price of the deposit rate. Originality/value: The study captures the long suggested collective nature of three main underlying determinants of bank deposit. The results shed light on the order of dynamics in a complex bank deposit environment. Comparative analysis further highlights the valuable insight quadruple wavelet coherence provides. [ABSTRACT FROM AUTHOR]

Since the Asian financial crisis and the global financial crisis, the regime shift behavior has been notable in the stock markets. We examine the effects of interest rates and foreign exchange rates on stock returns and the cross-correlations of Korean stock returns associated with three other countries: Japan, USA, and China, using the Hamilton 2-regime Markov Switching model, for the period January 1993–December 2016. In both regimes, the volatility in the Korean stock market is greater than Japan and USA, but less than China. In regime 1 with low-volatility, the stock returns of both Korea and Japan are significantly affected first by their exchange rates and then by their interest rates. In regime 2 with high-volatility, the Korean stock market is explained by neither of the two exogenous variables while the Japanese stock returns respond positively to the exchange rates but negatively to the interest rates. The transition probability from regime 1 to regime 2 is greater than the reverse probability in the Korean stock market, which is opposite in Japan. Considering all four countries simultaneously, the Korean stock market is highly influenced by both the US and Japanese stock market in regime 1 with low-volatility, but only influenced by the Japanese stock market in regime 2 with high-volatility. [ABSTRACT FROM AUTHOR]