Macroeconomic Policies Interaction &amp; the Symmetry of Financial Markets’ Responses

Nasir, Muhammad; Soliman, Alaa M.; Yago, Milton; Wu, Junjie

doi:10.1515/jcbtp-2016-0003

Cited by 2 publications

(2 citation statements)

References 26 publications

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“…The monthly average of the real yield on the 10 years government bond was chosen which is inverse of bond's price; it was due to the fact that real yield is very important for the economic agents participating in the bonds markets (Campbell 1995). Nevertheless, the real yield on the sovereign bonds is also important as it represents its borrowing cost for the government; it also reflects the confidence of markets participants and investors in bonds and importantly returns on investment (Nasir et al 2016). The data on the bond yield is not logged because it is a percentage and also negative real yield cannot be logged.…”

Section: Empirical Datamentioning

confidence: 99%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

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Section: Empirical Datamentioning

confidence: 99%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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“…The intricacies of volatility spillovers between interest rates and stock returns have largely been unexplored because researchers have favoured studying the impact of government policy uncertainty on various macroeconomic variables including stock returns (Chuliá et al, 2017), or primarily studying the impact of monetary policy on stock returns, rather than its volatility (Nasir, et al, 2016). However, Pástor and Veronesi (2012) develop a simple asset pricing model which reveals that policy uncertainty may trigger a rise in the volatility of the stochastic discount factor.…”

Section: Introductionmentioning

confidence: 99%

Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

Donzwa

Gupta

Wohar

2019

Journal of Central Banking Theory and Practice

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This study employs the recently developed Lagrange multiplier-based causality-in-variance test by Hafner and Herwartz (2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates before and after these economies reached the Zero Lower Bound (ZLB), which is permitted via the use of Shadow Short Rates (SSR), used as a proxy for monetary policy decisions. The results based on daily data imply that while bidirectional causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as well as the sub-samples covering the pre- and during-ZLB periods.

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Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses

Cited by 2 publications

References 26 publications

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Volatility Spillovers between Interest Rates and Equity Markets of Developed Economies

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