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generalized autoregressive conditional heteroscedasticity model (EGARCH) was applied based on weekly data of stock indices using … quantitative easing (QE), as determined by Google metrics, seems to calm stock market volatility and increase stock returns …
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This paper aims to shed light on the role mean and volatility spillovers of U.S. monetary policy played for asset … during the unconventional monetary policy phase. Volatility impulse responses show that conditional volatilities of foreign …
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This paper assesses the spillover effects of the United States' unconventional monetary policy (i.e., quantitative easing programs adopted during 2008-2014) on the Asian credit market. With a focus on cross-border bank lending, we employed firm-level loan data with regard to the syndicated loan...
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