Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries

Mészáros, Mercédesz; Kiss, Gábor

doi:10.2478/revecp-2020-0008

Cited by 5 publications

(4 citation statements)

References 52 publications

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“…Interestingly, the launch of new economic support packages prompts an unfavourable reaction in stock returns, contrary to the expectation of generating fresh momentum for the stock market, as observed in prior financial crises (Mészáros and Kiss, 2020). This discovery is in line with the works of Trung (2019), Chiang (2020), Nakazono and Ikeda (2016), where these authors demonstrate that shifts in policy uncertainty, such as economic support packages in response to Covid-19, can result in significant negative consequences.…”

Section: Resultsmentioning

confidence: 96%

Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

Pham,

Chu

2024

JRF

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PurposeThis study undertakes a comprehensive investigation into the far-reaching repercussions of Covid-19 stimulus packages and containment policies on stock returns, meticulously examining a diverse array of 14 distinct markets.Design/methodology/approachThis study employed the Panel SVAR model to analyze the relationships between various policies and stock market performance during the Covid-19 outbreak. The sample comprises 5432 daily observations spanning from December 2020 to January 2022 for the 14 selected markets, with missing data excluded.FindingsThe findings reveal three consistent impacts across all 14 markets. Firstly, stock returns immediately reversed and decreased within a day when Governments tightened containment policies. Secondly, economic stimulus packages led to a fall in stock returns. Thirdly, an increasing death rate caused the stock return to decrease in the following two days. These findings are supported by the uniform impulse responses in all three shocks, including common, composite and idiosyncratic shocks. Furthermore, all inverse root tests satisfy the stability conditions, indicating the stability and reliability of Panel SVAR estimations.Practical implicationsOne vital implication is that all government decisions and measures taken against the shock of Covid-19 must consider economic impacts to avoid unnecessary financial losses and support the effective functioning of stock markets during similar shocks. Secondly, investors should view the decline in stock returns due to Covid-19 effects as temporary, resulting from anxiety about the outbreak. The study highlights the importance of monitoring the impact of policies on financial markets and the broader economy during crises. Overall, these insights can prove helpful for investment decisions and policymaking during future crises.Originality/valueThis study constitutes a noteworthy addition to the literature on behavioural finance and the efficient market hypothesis, offering a meticulous analysis of the multifaceted repercussions of Covid-19 on market interactions. In particular, it unveils the magnitude, duration and intricate patterns of market volatilities linked to significant shock events, encompassing a comprehensive dataset spanning 14 distinct markets.

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Section: Resultsmentioning

confidence: 96%

Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

Pham,

Chu

2024

JRF

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“…Panel data can better detect effects that cannot be identified in data with only one dimension. Panel regression was used to study economic developments in a group of countries over a certain time period by, for instance, Zimčík (2016), Kubík (2010), Mészáros and Kiss (2020), Yilmaz and Koyuncu (2019), and Macek (2014. We assume that the individual, or cross-section specific, error component (unobserved effect) , and one or more regressors DMM, INL, LR, NDF, LTV, LDR, SR, CLIFS, BCH, UNR and GDP may be correlated.…”

Section: Methodsmentioning

confidence: 99%

The Impact of Seven Macroprudential Policy Instruments on Financial Stability in Six Euro Area Economies

Lorenčič

Festić

2021

Review of Economic Perspectives

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The aim of this paper is to investigate whether macroprudential policy instruments can influence the credit growth rate and hence financial stability. We use a fixed effects panel regression model to test the following hypothesis for six euro area economies (Austria, Finland, Germany, Italy, Netherlands and Spain) during time span 2010 Q3 to 2018 Q4: “Macroprudential policy instruments (degree of maturity mismatch; interbank loans as a percentage of total loans; leverage ratio; non-deposit funding as a percentage of total funding; loan-to-value ratio; loan-to-deposit ratio; solvency ratio) enhance financial stability, as measured by credit growth”. Our empirical results suggest that the degree of maturity mismatch, non-deposit funding as a percentage of total funding, loan-to-value ratio and loan-to-deposit ratio exhibit the predicted impact on the credit growth rate and therefore on financial stability. On the other hand, interbank loans as a percentage of total loans, leverage ratio, and solvency ratio do not exhibit the expected impact on the response variable. Since only four regressors (out of seven) have the signs predicted by our hypothesis, we can only partly confirm it.

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“…Since the financial crisis in 2008, the form of monetary policy transmission has been based on direct monetary measures. And the indirect effects of abnormal monetary practices haven't been fully played [11]. Through the analysis of the influence of quantitative easing policy in America, it can be seen that this policy has achieved remarkable results.…”

Section: The Influence Of the Us Qe Policy On China's Economymentioning

confidence: 99%

Analysis of the Impact of US Quantitative Easing Policy on China's Macro Economy

Tian

2024

HBEM

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The 2008 financial crisis caused many large enterprises to go bankrupt. In order to revitalize the crumbling economy and inject liquidity into the financial markets, US has carried out four rounds of QE policy. Since the COVID-19, America has resorted to unlimited quantitative easing in hopes of saving economy. The United States' QE has an impact on China's economic development due to their frequent economic interactions, and this impact will unavoidably spread as a result of QE's spillover effects. This research examines the Fed's QE monetary policy influence on Asian's biggest country economy in two time period, after the 2008 financial crisis and during the new coronavirus pandemic, in depth using current theories. In this study, the content of the QE monetary policy in the American continent is introduced, the implementation backdrop and impact of the policy are examined. The main focus of this paper is to present the impact of US QE monetary policy on China’s economy. First of all, US policy impact will inevitably spread to China's monetary policy and exchange rate policy. Secondly, the QE’s spillover effect of Chinese inflation is analyzed from RMB appreciation and commodity price rise. Third, the capital market's strong liquidity will lead to the inflow of international capital into our country due to the United States' QE monetary policy, so the impact on our capital market is analyzed. Fourthly, it analyzes the impact of dollar depreciation brought about by QE on the China's foreign exchange assets safety.

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Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries

Cited by 5 publications

References 52 publications

Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

Covid-19 severity, government responses and stock market reactions: a study of 14 highly affected countries

The Impact of Seven Macroprudential Policy Instruments on Financial Stability in Six Euro Area Economies

Analysis of the Impact of US Quantitative Easing Policy on China's Macro Economy

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