Have a personal or library account? Click to login
Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries Cover

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

Open Access
|Jun 2020

References

  1. AGGARWAL, R., (1981), Exchange Rates and Stock Prices: A Study of U.S. Capital Market under Floating Exchange Rates, Akron Business and Economic Review, Vol. 3, No. 9, pp.7–12.
  2. AIZENMAN, J., CHINN, M. D., ITO, H., (2016), Monetary policy spillovers and the trilemma in the new normal: Periphery country sensitivity to core country conditions, Journal of International Money and Finance, Vol. 68, pp.298-330. DOI: 10.1016/j.jimonfin.2016.02.00810.1016/j.jimonfin.2016.02.008
  3. ALBERTAZZI, U., BECKER, B., BOUCINHA, M., (2018), Portfolio rebalancing and the transmission of large-scale asset programmes: evidence from the euro area, ECB Working Paper No. 2125. Available at SSRN: https://ssrn.com/abstract=3116084.10.2139/ssrn.3116084
  4. BERNANKE, B. S., REINHART, V. R., SACK, B., (2004), Monetary policy alternatives at the zero bound: An empirical assessment, Brookings papers on economic activity, 2004, Vol. 2, pp.1-100. DOI: 10.1353/eca.2005.000210.1353/eca.2005.0002
  5. BERNANKE, B. S., REINHART, V. R., (2004), Conducting monetary policy at very low short-term interest rates, American Economic Review, Vol. 94, No. 2, pp.85-90. DOI: 10.1257/000282804130211810.1257/0002828041302118
  6. BERNANKE, B. S., (2012), Monetary Policy since the Onset of the Crisis, Remarks at the Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming, 2012.09.31., Online: http://www.federalreserve.gov/newsevents/speech/bernanke20120831a.pdf.
  7. BLANCHARD, O., CERUTTI, E., SUMMERS, L., (2015), Inflation and Activity - Two Explorations and their Monetary Policy Implications, IMF Working Papers, 2015/230.10.3386/w21726
  8. BORIO, C., DISYATAT, P., (2010), Unconventional monetary policies: an appraisal, The Manchester School, Vol. 78, pp.53-89. DOI: 10.1111/j.1467-9957.2010.02199.x10.1111/j.1467-9957.2010.02199.x
  9. BRŮHA, J., TONNER, J., (2018), Independent Monetary Policy Versus a Common Currency: A Macroeconomic Analysis for the Czech Republic Through the Lens of an Applied DSGE Model, CNB Working Paper Series, Czech National Bank, No. 2018/19.
  10. CIARLONE, A., COLABELLA, A., (2018), International Spillovers of Non-standard Monetary Policy: Evidence From Central and Eastern Europe In. FERRARA et al. (eds.), International Macroeconomics in the Wake of the Global Financial Crisis, Springer International Publishing AG, Vol. 46, pp. 271-300.10.1007/978-3-319-79075-6_14
  11. CSIKI, M., KISS, G. D., (2018), Capital Market Contagion in the Stock Markets of Visegrád Countries Based on the Heckman Selection Model, Financial and Economic Review, Vol. 17, No. 4, pp.23-52.10.25201/FER.17.4.2352
  12. CZECZELI, V., (2017), Az EKB mennyiségi lazítási programjának tapasztalatai’, Európai tükör, Vol. 20, No. 1, pp.103-126.
  13. DEMIR, İ., (2014), Monetary policy responses to the exchange rate: Empirical evidence from the ECB, Economic Modelling, Vol. 39, pp.63-70. DOI: 10.1016/j.econmod.2014.02.02410.1016/j.econmod.2014.02.024
  14. ELLISON, M., TISCHBIREK, A., (2014), Unconventional government debt purchases as a supplement to conventional monetary policy, Journal of Economic Dynamics and Control, Vol. 43, pp.199-217. DOI: 10.1016/j.jedc.2014.03.01210.1016/j.jedc.2014.03.012
  15. EKSI, O., TAS, B. K. O., (2017), Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions, The North American Journal of Economics and Finance, Vol. 40, pp.136-147. DOI: 10.1016/j.najef.2017.02.00410.1016/j.najef.2017.02.004
  16. ESER, F., SCHWAAB, B., (2016), Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳ s Securities Markets Programme, Journal of Financial Economics, Vol. 119, No. 1, pp.147-167. DOI: 10.1016/j.jfineco.2015.06.00310.1016/j.jfineco.2015.06.003
  17. FALAGIARDA, M., MCQUADE, P., TIRPÁK, M., (2015), Spillovers from the ECB’s non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis, No. 1869. ECB working paper.
  18. FARMER, R. E. A., (2013), Qualitative easing: a new tool for the stabilisation of financial markets, Bank of England Quarterly Bulletin, Vol. 53, No. 4, pp.405–413.
  19. FASSAS, A. P., PAPADAMOU, S., (2018), Unconventional monetary policy announcements and risk aversion: evidence from the US and European equity markets, The European Journal of Finance, Vol. 24, No. 18, pp.1885-1901. DOI: 10.1080/1351847X.2018.149694310.1080/1351847X.2018.1496943
  20. FAUSCH, J., SIGONIUS, M., (2018), The impact of ECB monetary policy surprises on the German stock market, Journal of Macroeconomics, Vol. 55, pp.46-63. DOI: 10.1016/j.jmacro.2017.09.00110.1016/j.jmacro.2017.09.001
  21. FELCSER, D., SOÓS, G. D., VÁRADI, B., (2015), A kamatcsökkentési ciklus hatása a magyar makrogazdaságra és a pénzügyi piacokra, Hitelintézeti Szemle, Vol. 14, pp.39-59.
  22. FRANKEL, J., (2011), Monetary Policy in Emerging Markets, in: FRIEDMAN B. M., Woodford M. (eds.): Handbook of Monetary Economics, Elsevier, pp.1441-1499
  23. FRATZSCHER, M., DUCA, M. L., STRAUB, R., (2016), ECB unconventional monetary policy: Market impact and international spillovers, IMF Economic Review, Vol. 64, No. 1, pp.36-74. DOI: 10.1057/imfer.2016.510.1057/imfer.2016.5
  24. FRATZSCHER, M., (2012), Capital flows, push versus pull factors and the global financial crisis, Journal of International Economics, Vol. 88, No. 2, pp.341-356. DOI: 10.1016/j.jinteco.2012.05.00310.1016/j.jinteco.2012.05.003
  25. GABRISCH, H., (2017), Monetary policy independence reconsidered: evidence from six non-euro members of the European Union, Empirica, Vol. 44, No. 3, pp.567-584. DOI: 10.1007/s10663-016-9337-310.1007/s10663-016-9337-3
  26. GAGNON, J. E., BAYOUMI, T., LONDONO, J. M., SABOROWSKI, C., SAPRIZA, H., (2017), Direct and spillover effects of unconventional monetary and exchange rate policies, Open Economies Review, Vol. 28, No. 2, pp.191-232. DOI: 10.1007/s11079-017-9437-010.1007/s11079-017-9437-0
  27. GERTLER, M., KARADI, P., (2011), A model of unconventional monetary policy, Journal of monetary Economics, Vol. 58, No. 1, pp.17-34. DOI: 10.1016/j.jmoneco.2010.10.00410.1016/j.jmoneco.2010.10.004
  28. GOLDSTEIN, I., WITMER, J., YANG, J., (2018), Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing, Bank of Canada, Staff Working Paper 2018-33.
  29. GREENE, W. H., (2003), Econometric analysis, Pearson Education, India.
  30. HABIB, M. M., STRACCA, L. (2012), Getting beyond carry trade: What makes a safe haven currency?, Journal of International Economics, Vol. 87, No. 1, pp.50-64. DOI: 10.1016/j.jinteco.2011.12.00510.1016/j.jinteco.2011.12.005
  31. HAITSMA, R., UNALMIS, D., de HAAN, J., (2016), The impact of the ECB’s conventional and unconventional monetary policies on stock markets, Journal of Macroeconomics, Vol. 48, pp.101-116. DOI: 10.1016/j.jmacro.2016.02.00410.1016/j.jmacro.2016.02.004
  32. HAMORI, S., HAMORI, N., (2010), Introduction of the euro and the monetary policy of the European Central Bank, World Scientific, 2010.10.1142/7169
  33. HERYÁN, T., TZEREMES, P. G., (2017), The bank lending channel of monetary policy in EU countries during the global financial crisis, Economic modelling, Vol. 67, pp.10-22. DOI: 10.1016/j.econmod.2016.07.01710.1016/j.econmod.2016.07.017
  34. HOFMANN, B., TAKÁTS, E., (2015), International Monetary Spillovers, BIS Quarterly Review, September 2015, Available at SSRN: https://ssrn.com/abstract=2661596.
  35. IM, K. S., PESARAN, M. H., Shin, Y., (2003), Testing for unit roots in heterogeneous panels, Journal of econometrics, Vol. 115, No. 1, pp.53-74. DOI: 10.1016/S0304-4076(03)00092-710.1016/S0304-4076(03)00092-7
  36. ITO, T., (2014), We are all QE-sians now, Institute for Monetary and Economic Studies, Bank of Japan, Discussion Paper, (2014-E), Vol. 5.
  37. JÄGER, J., GRIGORIADIS, T., (2017), The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries, Journal of International Money and Finance, Vol. 78, pp.21-43. DOI: 10.1016/j.jimonfin.2017.07.02110.1016/j.jimonfin.2017.07.021
  38. JAMMAZI, R., FERRER, R., JARENO, F., HAMMOUDEH, S., (2017), Main driving factors of the interest rate-stock market Granger causality, International Review of Financial Analysis, Vol. 52, pp.260–280. DOI: 10.1016/j.irfa.2017.07.00810.1016/j.irfa.2017.07.008
  39. JOYCE, M., MILES, D., SCOTT, A., VAYANOS, D., (2012), Quantitative easing and unconventional monetary policy–an introduction, The Economic Journal, Vol. 122, No. 564, pp.F271-F288. DOI: 10.1111/j.1468-0297.2012.02551.x10.1111/j.1468-0297.2012.02551.x
  40. KENOURGIOS, D., DRAKONAKI, E., DIMITRIOU, D., (2019), ECB’s unconventional monetary policy and cross-financial-market correlation dynamics, The North American Journal of Economics and Finance, Vol. 50, 101045. DOI: 10.1016/j.najef.2019.10104510.1016/j.najef.2019.101045
  41. KHOLODILIN, K., MONTAGNOLI, A., NAPOLITANO, O.,SILIVERSTOVS, B., (2009), Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view, Economics Letters, Vol. 105, No. 3, pp.211-213. DOI: 10.1016/j.econlet.2009.08.00610.1016/j.econlet.2009.08.006
  42. KISS, Á., SZILÁGYI, K., (2014), Miért más ez a válság, mint a többi? Az adósságleépítés szerepe a nagy recesszióban, Közgazdasági Szemle, Vol. 61, No. 9, pp.949-974.
  43. KISS, G. D., CSIKI, M., VARGA, J. Z., (2019), Comparing the IMF and the ESM through Bond Market Premia in the Eurozone, Public Finance Quarterly, Vol. 64, No. 2, pp.281-296.
  44. KREKÓ, J., BALOGH, Cs., LEHMANN, K., MÁTRAI, R., PULAI, G,, VONNÁK, B., (2012), Nemkonvencionális jegybanki eszközök alkalmazásának nemzetközi tapasztalatai és hazai lehetőségei, MNB-Tanulmányok 100., Budapest.
  45. KRYZANOWSKI, L., ZHANG, J., ZHONG, R., (2017), Cross-financial-market correlations and quantitative easing, Finance Research Letters, Vol. 20, pp.13-21. DOI: 10.1016/j.frl.2016.06.01110.1016/j.frl.2016.06.011
  46. KUCHARČUKOVÁ, O. B., CLAEYS, P., VAŠÍČEK, B., (2016), Spillover of the ECB’s monetary policy outside the euro area: How different is conventional from unconventional policy?, Journal of Policy Modeling, Vol. 38, No. 2, pp. 199-225. DOI: 10.1016/j.jpolmod.2016.02.00210.1016/j.jpolmod.2016.02.002
  47. LIPPAI-MAKRA, E., RÁDÓCZI, Zs., KOVÁCS, Zs., (2019), Intellectual capital disclosure of Hungarian and Czech Listed firms, European Financial and Accounting Journal, [forthcoming]10.18267/j.efaj.229
  48. MAGGIO, M. D., KERMANI, A., PALMER, C., (2016), How quantitative easing works: Evidence on the refinancing channel, No. w22638, National Bureau of Economic Research.10.3386/w22638
  49. PÁL, T., (2018), Characteristics and perspectives of the European quantitative easing, Review of Economics Theory and Practice, Vol. 13, No. 4, pp.138-167.10.14267/RETP2018.04.07
  50. PELLE, A,. VÉGH, M., (2019), How has the Eurozone Changed Since its Inception?, Public Finance Quarterly, Vol. 64, No. 1, pp.127-145.
  51. RANALDO, A., SÖDERLIND, P., (2010), Safe Haven Currencies, Review of Finance, Vol. 14, No. 3, pp.385-407. DOI: 10.1093/rof/rfq00710.1093/rof/rfq007
  52. RIGOBON, R., (2003), Identification through heteroskedasticity, Review of Economics and Statistics, Vol. 85, No. 4, pp.777-792. DOI: 10.1162/00346530377281572710.1162/003465303772815727
  53. ROBINSON, T., STONE, A., (2006), Monetary Policy, Asset-Price Bubbles, and the Zero Lower Bound, In Monetary Policy with Very Low Inflation in the Pacific Rim, NBER-EASE, Vol. 15, pp.43-90. University of Chicago Press.10.7208/chicago/9780226379012.003.0003
  54. SÁGI, J., LENTNER, C., (2019), Post-crisis trends in household credit market behavior: evidence from Hungary, Banks and Bank Systems, Vol. 14, No. 3, pp.162-174. DOI: 10.21511/bbs.14(3).2019.1410.21511/bbs.14(3).2019.14
  55. SHIRAI, S., (2014), Japan’s monetary policy in a challenging environment, Eurasian Economic Review, Vol. 4, No.1, pp.3-24. DOI: 10.1007/s40822-014-0006-110.1007/s40822-014-0006-1
  56. STAVÁREK, D., (2010), Exchange Market Pressure and De Facto Exchange Rate Regimes in the Euro Candidates, Romanian Journal of Economic Forecasting, Vol. 0, No. 2, pp.119-139.
  57. STEELEY, J. M., (2017), The effects of quantitative easing on the integration of UK capital markets, The European Journal of Finance, Vol. 23, No. 11, pp.999-1024. DOI: 10.1080/1351847X.2015.106763510.1080/1351847X.2015.1067635
  58. TAYLOR, J. B., WILLIAMS J. C., (2011), Simple and Robust Rules for Monetary Policy, in: FRIEDMAN B. M., WOODFORD M. (eds.): Handbook of Monetary Economics, Elsevier, pp.829-856.10.1016/B978-0-444-53454-5.00003-7
  59. TAMAKOSHI, G., HAMORI, S., (2014), Co–movements among major European exchange rates: A multivariate time-varying asymmetric approach, International Review of Economics and Finance, Vol. 31, pp.105-113. DOI: 10.1016/j.iref.2014.01.01610.1016/j.iref.2014.01.016
  60. TARAFÁS, I., (2016), Kinyílnak-e az őszirózsák? Kitekintés a válság utáni monetáris politikára, Közgazdasági Szemle, Vol. 63, No. 5, pp.548-563. DOI: 10.18414/KSZ.2016.5.54810.18414/KSZ.2016.5.548
  61. THORNTON, D. L., (2014), QE: is there a portfolio balance effect?, Federal Reserve Bank of St. Louis Review, Vol. 96, No. 1, pp.55-72.10.20955/r.96.55-72
  62. VARGHESE, R., ZHANG, Y. S., (2018), A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers, International Monetary Fund.10.2139/ssrn.3120338
  63. WANG, Y. C., WANG, C. W., HUANG, C. H., (2015), The impact of unconventional monetary policy on the tail risks of stock markets between US and Japan, International Review of Financial Analysis, Vol. 41, pp.41-51. DOI: 10.1016/j.irfa.2015.05.02010.1016/j.irfa.2015.05.020
  64. WOODFORD, M., (2012), Inflation targeting and financial stability, NBER Working Paper No.17967, National Bureau of Economic Research, 2012.10.3386/w17967
DOI: https://doi.org/10.2478/revecp-2020-0008 | Journal eISSN: 1804-1663 | Journal ISSN: 1213-2446
Language: English
Page range: 171 - 195
Published on: Jun 22, 2020
Published by: Mendel University in Brno
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year

© 2020 Mercédesz Mészáros, Gábor Dávid Kiss, published by Mendel University in Brno
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.