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Interest Rates and Stock Movements in Three Major Asian Countries-India, China and Japan
Singh, Saurabh - 2010
forces of Asia affects the world economy. World's most populated countries viz. China and India are competing with the …
Persistent link: https://www.econbiz.de/10013146559
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010333621
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Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10009787494
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Impact of the Quantitative Easing on the American and Japanese Stock Index
Ducournau, Geoffrey - 2017
have carried out such monetary policy for a while namely Japan and the United States of America. This research, mainly … easing would have been implemented in order to determine, during a specific period of time (2000 to 2015 for Japan; 2008 to … out and when it has not. According to our empirical results, it has been found that for both countries (Japan, USA …
Persistent link: https://www.econbiz.de/10012956202
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Using Stock Prices to Help Identify Unconventional Monetary Policy Shocks for External Instrument SVAR
Ma, Liang - 2022
In times when short-term policy rates are at or near the zero lower bound, central banks use unconventional policies such as forward guidance and quantitative easing to influence the slope of the yield curve. In this paper, we analyze the dynamic responses of key U.S. macroeconomic variables to...
Persistent link: https://www.econbiz.de/10014081729
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What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?
Lee, Jinsoo - 2018
This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … comovements of Korean stock returns with those of the U.S. and Japan became smaller after the global financial crisis. In contrast …, the comovement in stock returns between Korea and China became larger after the crisis. After an additional analysis, we …
Persistent link: https://www.econbiz.de/10012920780
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What Drives the Stock Market Comovements between Korea and China, Japan and the US?
Lee, Jinsoo - 2018
This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … of the Korean stock returns with those of the US and Japan became smaller after the global financial crisis. In contrast …, the comovement in stock returns between Korea and China became larger after the crisis. After an additional analysis, we …
Persistent link: https://www.econbiz.de/10012929624
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Capital Markets, COVID-19 and Policy Measures
ElFayoumi, Khalid; Hengge, Martina - 2021
The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation between markets and asset classes. Using high-frequency country-level data, this paper examines if and how the number of COVID cases, the stringency of the lockdown, and the fiscal...
Persistent link: https://www.econbiz.de/10013234704
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The effectiveness of stock prices on the phase of short-term interest rates : evidence from Eastern European countries
Yıldırım, Nurtac; Ozcelebi, Oguzhan; Kansu, Aydan - In: Advances in management & applied economics 3 (2013) 4, pp. 21-35
In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...
Persistent link: https://www.econbiz.de/10009759715
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Understanding asset correlations
Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012
We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether inflation is counter- or procyclical. We show that the...
Persistent link: https://www.econbiz.de/10009684165