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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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The financial market effects of the ECB's asset purchase programs
Lewis, Vivien; Roth, Markus - 2017
The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...
Persistent link: https://www.econbiz.de/10011712553
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The Time-Varying Effect of US Monetary Policy Shocks on Asset Prices and the Macroeconomy
Serbest, Özge - 2021
I explore the time-varying effects of the multi-dimensional aspect of monetary policy on asset prices and macroeconomic variables using a time-varying factor-augmented vector autoregressive model. I decompose monetary policy into three dimensions: current monetary policy stance, FOMC...
Persistent link: https://www.econbiz.de/10013313991
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Monetary policy effects on equity returns : application of SVAR identified with high-frequency external instrument
Jang, Woon Wook - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 319-331
these news components. The authors propose an alternative MP shock identification approach to analyze the MP effects on the …
Persistent link: https://www.econbiz.de/10012658788
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Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects
Lewis, Daniel J. - 2019
the real economy, I find that the asset purchase shock has significant effects on consumer and professional expectations …
Persistent link: https://www.econbiz.de/10012022250
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Effects of US quantitative easing on emerging market economies
Bhattarai, Saroj; Chatterjee, Arpita; Park, Woong-yong - 2018
Bayesian VAR on monthly US macroeconomic and financial data, we first identify the US QE shock. The identified US QE shock is … expansionary US QE shock has significant effects on financial variables in EMEs. It leads to an exchange rate appreciation, a …
Persistent link: https://www.econbiz.de/10011786694
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Asymmetric macro-financial spillovers
Bluwstein, Kristina - 2017
The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less...
Persistent link: https://www.econbiz.de/10011617592
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Using Financial Markets to Estimate the Macro Effects of Monetary Policy : An Impact-Identified FAVAR
Pitschner, Stefan - 2013
In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the … scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that …
Persistent link: https://www.econbiz.de/10013079937
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Using financial markets to estimate the macro effects of monetary policy: An impact-identified FAVAR
Pitschner, Stefan - 2013
In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the … scheme does not fall back on any of the standard (FA)VAR identifying assumptions, it confirms the classical finding that …
Persistent link: https://www.econbiz.de/10010320737
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Heterogeneous macro and financial effects of ECB asset purchase programs
Zwan, Terri van der; Kole, Erik; Wel, Michel van der - 2021
reduction in stress in corporate and sovereign debt markets after an asset purchase shock. We disentangle the effect among …
Persistent link: https://www.econbiz.de/10012795397