The Nature of the Shock Matters: Some Model-Based Results on the Macroeconomic Effects of Exchange Rate

Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries

“…Since there is a causal relationship between the standardized market turnover (vol i,t ) and the asset returns according to the concept of market liquidity (Meggyes and Váradi, 2015), our baseline model 1 (4) analyses this relationship. Funding conditions are affecting market participants' potential for leverage, and they can be partially assumed to be exogenous for open and relatively small (and especially for emerging) economies due to the deterministic power of the key central banks (Haincourt, 2018;Frankel, 2011). The direction of capital flow can be guided traditionally by the yield premium between the ith country and the AAA-rated benchmark German long-term nominal yields (10Y i,t − 10Y DE,t ), while it reflects the disparity and credit risk.…”