US and EU unconventional monetary policy spillover on BRICS financial markets: an event study

Empirica ◽  
2020 ◽  
Author(s):  
Justinas Lubys ◽  
Pradiptarathi Panda
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Event Study ◽  
Unconventional Monetary Policy

scholarly journals A SUNSPOT-BASED THEORY OF UNCONVENTIONAL MONETARY POLICY

2020 ◽  
pp. 1-32
Author(s):  
Roger E. A. Farmer ◽  
Pawel Zabczyk
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Financial Markets ◽  
Rational Expectations ◽  
Balance Sheet ◽  
Unconventional Monetary Policy ◽  
Efficient Outcome ◽  
Complete Set ◽  
Pareto Efficient ◽  
Financial Securities

This paper is about the effectiveness of qualitative easing, a form of unconventional monetary policy that changes the risk composition of the central bank balance sheet. We construct a general equilibrium model where agents have rational expectations, and there is a complete set of financial securities, but where some agents are unable to participate in financial markets. We show that a change in the risk composition of the central bank’s balance sheet affects equilibrium asset prices and economic activity. We prove that, in our model, a policy in which the central bank stabilizes non-fundamental fluctuations in the stock market is self-financing and leads to a Pareto efficient outcome.

Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review

2021 ◽  
Vol 54 (1) ◽  
pp. 37-77
Author(s):  
Lisa-Maria Kampl
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Event Studies ◽  
Empirical Literature ◽  
Unconventional Monetary Policy ◽  
Short Term ◽  
Comprehensive Overview ◽  
Announcement Effects ◽  
Policy Measures ◽  
Short Term Effects

Following the financial crisis in 2008, the ECB implemented various unconventional policy measures to respond to the tensions on the market. These measures had a significant impact and short-term effects on financial markets. This literature review provides a extensive overview of the empirical literature dealing with the short-term effects of this unconventional monetary policy using event studies. Furthermore, a methodological analysis of conducted event studies is carried out. First, we review empirical event studies focusing on the effects on the bond market, the stock market, as well as on international spill-over effects. Secondly, we carry out a methodological analysis of event studies that estimate the announcement effects of the ECB’s unconventional measures. In this context, the analysis provides insight into the process of determining relevant events, the categorization of those, measuring the surprise component, and determining control variables. By comparing the different approaches applied, we give a comprehensive overview of similarities as well as differences in the methodology used.

scholarly journals Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Zekeriya Yildirim ◽  
Mehmet Ivrendi
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Risk Taking ◽  
Large Scale ◽  
Emerging Market ◽  
Spillover Effects ◽  
International Financial Markets ◽  
Quantitative Easing ◽  
Unconventional Monetary Policy ◽  
The Us

AbstractThis study investigates the international spillover effects of US unconventional monetary policy (UMP)—frequently called large-scale asset purchases or quantitative easing (QE)—on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily data. Blinder (Federal Reserve Bank of St. Louis Rev 92(6): 465–479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums. Considering this argument and recent empirical evidence, we use two spreads as indicators of US UMP: the mortgage and term spreads. Based on data from 20 emerging and 20 advanced countries, our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread. Furthermore, the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

2019 ◽  
Author(s):  
Mehmet Balcilar ◽  
Zeynel Abidin Ozdemir ◽  
Huseyin Ozdemir ◽  
Mark E. Wohar
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Unconventional Monetary Policy ◽  
The Us

Fed’s unconventional monetary policy and risk spillover in the US financial markets

2020 ◽  
Vol 78 ◽  
pp. 42-52 ◽  
Author(s):  
Mehmet Balcilar ◽  
Zeynel Abidin Ozdemir ◽  
Huseyin Ozdemir ◽  
Mark E. Wohar
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Unconventional Monetary Policy ◽  
The Us

scholarly journals THE INFLUENCE OF DEVELOPED COUNTRIES CENTRAL BANKS' UNCONVENTIONAL MONETARY POLICY ON THE ECONOMY OF UKRAINE

2020 ◽  
pp. 99-108
Author(s):  
T. Derkach ◽  
H. Alekseievska
Keyword(s):  
Monetary Policy ◽  
Event Study ◽  
Least Squares Method ◽  
Developed Countries ◽  
Central Banks ◽  
Stock Index ◽  
Financial Indicators ◽  
Unconventional Monetary Policy ◽  
The Developed Countries ◽  
The Impact

In the period of globalization, the economic shocks that occurred in one country quickly spread to other countries. So the actions of the developed countries’ Central banks have a significant impact on other countries, in particular emerging markets countries. The paper considers an example of the impact of the European Central Bank, the Federal Reserve and the Bank of Japan's unconventional monetary policy on the Ukrainian economy. The purpose of the study is to assess the impact of the ECB, the Fed and the Bank of Japan's unconventional monetary policy on the financial indicators of Ukraine. The analysis is based on the event study methodology and constructing econometric models using the one least-squares method. The event study method allows to evaluate whether the time series of the studied indicators moves around a certain date. As a result, it was determined that the ECB's unconventional measures had the greatest impact on Ukrainian financial indicators, and the Bank of Japan had the least impact. Non-traditional measures of banks under study affected exchange rates and the yield of two-year government bonds. ECB and Fed’s Unconventional monetary policy had an impact on the MSCI stock index, and the ECB policy also affected the interbank three-month rate. On the whole, the first rounds of unconventional monetary policy of the central banks under study have the main influence on the financial indicators of Ukraine.

scholarly journals Unconventional Monetary Policy Measures and Inflation Expectations

2015 ◽  
pp. 1-6
Author(s):  
Mehmet Pasaogullari
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Financial Markets ◽  
Large Scale ◽  
Balance Sheet ◽  
Inflation Expectations ◽  
Unconventional Monetary Policy ◽  
High Inflation ◽  
Policy Measures ◽  
Asset Purchases

The record increase in the size of the Federal Reserve's balance sheet after the financial crisis ignited fears among some people that high inflation would inevitably follow. We investigated whether those fears were supported in survey or market measures of inflation expectations around the time that large-scale asset purchases were announced. Nothing suggests that the Fed's new policy tools have been perceived by professional forecasters or financial markets as harbingers of hyperinflation.

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