Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries

Abstract

In this paper, we investigate how conventional and unconventional monetary policy shocks affect the stock market of eight advanced economies, namely,

Interplay of multifractal dynamics between shadow policy rates and stock markets

“…VAR models, on the other hand, are found to be more efficient than event study based methodologies, since they take into consideration the problem of endogeneity of monetary policies [ 26 ]. Cepni, Gupta [ 31 ] investigate how the shocks of CMP and UMP measures impact the eight developed equity markets of US, UK, Spain, Italy, Germany, France and Canada by employing panel-based VAR with monthly data. Abdullah and Hassanien [ 32 ] used a structural vector autoregressive (SVAR) model to investigate the spillover effect of US UMP on Egypt as an emerging market case study.…”