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Does central bank independence affect stock market volatility?
Papadamou, Stephanos; Sidiropoulos, Moïse; … - In: Research in international business and finance 42 (2017), pp. 855-864
Persistent link: https://www.econbiz.de/10011753758
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Stock market uncertainty and interest rate behaviour : a panel GARCH approach
Valera, Harold Glenn A.; Holmes, Mark J.; Hassan, Gazi M. - In: Applied economics letters 24 (2017) 10/12, pp. 732-735
Persistent link: https://www.econbiz.de/10011714175
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Monetary shocks and stock market fluctuations : with an application to the Chinese stock market
Zhang, Bo; Hu, Jinyan; Jiang, Mingming - In: The Singapore economic review : journal of the Economic … 62 (2017) 4, pp. 875-904
Persistent link: https://www.econbiz.de/10011788694
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Do macro shocks matter for equities?
Dison, Will; Theodoridis, Konstantinos - 2017
Persistent link: https://www.econbiz.de/10011912881
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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Monetary policy and stock market volatility
Bleich, Dirk; Fendel, Ralf; Ruelke, Jan-Christoph - 2013
implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …
Persistent link: https://www.econbiz.de/10010202818
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Asymmetric generalized impulse responses with an application in finance
Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22
Persistent link: https://www.econbiz.de/10010412088
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10013026088
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The more the Merrier? : the reaction of euro area stock markets to new members
Grigaliuniene, Zana; Celov, Dmitrij; Hartwell, … - In: Journal of international financial markets, … 66 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012495842
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Measuring the effects of unconventional policies on stock market volatility
Lacava, Demetrio; Gallo, Giampiero M.; Otranto, Edoardo - 2020 - Prima edizione
Persistent link: https://www.econbiz.de/10012515678