scholarly journals Expectations and the quantitative easing in Eurozone

2018 ◽  
Vol 7 (1) ◽  
pp. 18
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Regression Method ◽  
Quantitative Easing ◽  
Transmission Channel ◽  
Labor Market Conditions ◽  
Economic Productivity ◽  
Switching Dynamic ◽  
The 2008 Financial Crisis ◽  
Primary Transmission

The European economy suffered from both the 2008 financial crisis and the debt sovereign crisis of certain of its members and then experienced a period of quantitative easing (QE) starting in 2015. The goal of this study is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and labor markets across the Eurozone. The analysis employs the Markov-switching dynamic regression method. The findings illustrate the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the QE policy is the expectations channel.

The role of the expectations channel in the quantitative easing in the Eurozone

2019 ◽  
Vol 46 (2) ◽  
pp. 372-382 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Labor Markets ◽  
Stock Prices ◽  
Methodological Approach ◽  
Quantitative Easing ◽  
Data Set ◽  
Content Type ◽  
Economic Productivity ◽  
Financial Variables ◽  
Switching Dynamic

Purpose The purpose of this paper is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity and labor markets across the Eurozone. Design/methodology/approach Using a range of variables, the analysis employed the Markov-switching dynamic regression methodological approach. Findings The findings provided evidence in favor of the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the quantitative easing policy is the expectations channel. Originality/value The novelties of this paper are twofold: it makes use of a wide data set to investigate the effect of economic and financial variables on productivity, labor markets, bond markets and equity markets in the Eurozone; and the analysis focuses on the direct effects of monetary base increases on the Eurozone economy, as well as on Eurozone financial markets.

scholarly journals Harvests and Financial Crises in Gold Standard America

2013 ◽  
Vol 73 (1) ◽  
pp. 201-246 ◽  
Author(s):  
Christopher Hanes ◽  
Paul W. Rhode
Keyword(s):  
Business Cycle ◽  
Central Bank ◽  
Financial Markets ◽  
Stock Prices ◽  
Gold Standard ◽  
Financial Crises ◽  
Transmission Channel ◽  
Monetary Regime ◽  
International Demand ◽  
Exogenous Factors

Most American financial crises of the postbellum gold standard era were caused by fluctuations in the cotton harvest due to exogenous factors such as weather. The transmission channel ran through export revenues and financial markets under the pre-1914 monetary regime. A poor cotton harvest depressed export revenues and reduced international demand for American assets, which depressed American stock prices, drained deposits from money center banks and precipitated a business cycle downturn—conditions that bred financial crises. The crises caused by cotton harvests could have been prevented by an American central bank, even under gold standard constraints.

scholarly journals The Effect of FOMC Votes on Financial Markets

2019 ◽  
Vol 101 (5) ◽  
pp. 921-932
Author(s):  
Carlos Madeira ◽  
João Madeira
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Open Market ◽  
Federal Open Market Committee ◽  
2008 Financial Crisis ◽  
Treasury Securities ◽  
Stock Market Reaction

This paper shows that since votes of members of the Federal Open Market Committee have been included in press statements, stock prices increase after the announcement when votes are unanimous but fall when dissent (which typically is due to preference for higher interest rates) occurs. This pattern started prior to the 2007–2008 financial crisis. The differences in stock market reaction between unanimity and dissent remain, even controlling for the stance of monetary policy and consecutive dissent. Statement semantics also do not seem to explain the documented effect. We find no differences between unanimity and dissent with respect to impact on market risk and Treasury securities.

scholarly journals Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

2018 ◽  
Vol 10 (2) ◽  
pp. 14 ◽  
Author(s):  
Shigeki Ono
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Federal Funds Rate ◽  
Monetary Policies ◽  
Endogenous Variables ◽  
Policy Shocks ◽  
Monetary Policy Shock

This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

scholarly journals Financial Markets’ Governance, Transparency and Informational Efficiency: Role of IfRS Norms, Auditors and Financial Analysts

2016 ◽  
Vol 9 (5) ◽  
pp. 100
Author(s):  
Imen Lamiri ◽  
Adel Boubaker
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Stock Price ◽  
Financial Analysts ◽  
Negative Relationship ◽  
Developed Countries ◽  
Coefficient Of Determination ◽  
Specific Information ◽  
Informational Efficiency

<p>This article explores the informational role of three essential modern financial markets actors such IFRS norms, the Big”4” and the financial analysts for a panel of emergent and developed countries during the period from 2001 to 2010. We hypothesis that these mechanisms help improving the quality of specific information incorporated into stock prices measured by the stock price synchronicity (SPS). The main result is that both financial analyst’s coverage and IFRS adoption's effects seem to be stronger for emerging than developed markets. The results also show a negative relationship between auditors’ opinion and coefficient of determination (R<sup>2</sup>).</p>

scholarly journals Transmission mechanisms in Japan’s quantitative easing policy (2001–2006)

2017 ◽  
Vol 6 (2) ◽  
pp. 35 ◽  
Author(s):  
Hiroyuki Ijiri
Keyword(s):  
Bank Lending ◽  
Var Model ◽  
Quantitative Easing ◽  
Time Varying ◽  
Transmission Channel ◽  
Bank Lending Channel ◽  
Monthly Data ◽  
Lending Channel ◽  
Transmission Mechanisms ◽  
Time Varying Parameter

This study investigates exchange rates and bank lending as the transmission channels for Japan’s Quantitative Easing Policy (QEP) during 2001–2006. Using a Time Varying Parameter-VAR model and monthly data to analyze the dynamism of the QEP, this study is the first to show that the exchange rate channel was the effective QEP transmission channel after around 2005, while the bank lending channel was inactive.

scholarly journals A Study on the Synergistic Change of Non-ferrous Metal Futures and Stock Prices in China—Based on the Complex System Synergy Degree

2019 ◽  
Vol 267 ◽  
pp. 04009
Author(s):  
Qingxin Kong ◽  
Shangde Gou
Keyword(s):  
Stock Prices ◽  
Composite System ◽  
Negative Impact ◽  
Ferrous Metal ◽  
Futures Market ◽  
2008 Financial Crisis ◽  
Ferrous Metals ◽  
Metal Market ◽  
Non Ferrous Metals ◽  
The 2008 Financial Crisis

Based on the synergetics perspective, this paper constructs a composite system of non-ferrous metal futures and stock prices, using MATLAB to analyze the data of 3405 trading days from 2004 to 2018 in China. The empirical results show that non-ferrous metal stock prices are generally more orderly than futures prices in the selected period; the price discovery function of aluminum futures is worse than that of copper and zinc; and the 2008 financial crisis has an indelible negative impact on the coordination of China's non-ferrous metals futures market. Finally, this paper discusses whether there are representative metals in the non-ferrous metal market, and makes a brief summary.

scholarly journals What Drives Stops in Cross-Border Bond Flows?

2019 ◽  
Vol 11 (14) ◽  
pp. 3763
Author(s):  
Seung-Gwan Baek ◽  
Chi-Young Song
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Emerging Economies ◽  
Exchange Rate Regimes ◽  
Real Exchange Rates ◽  
Flexible Exchange Rate ◽  
Regression Method ◽  
Policy Implications ◽  
Capital Account ◽  
Cross Border

This paper empirically explores the determinants of stop episodes driven by bond flows using quarterly data from 38 economies over the period 1995–2011. Drastic bond-led stop episodes may greatly destabilize domestic financial markets and lead to financial crisis, threatening the sustainability of the financial system. Using the complementary log–log regression method, we found that bond-led stop episodes were associated with contagion and domestic factors rather than global factors. The results of our estimation showed that the probability of bond-led stop episodes was higher in countries with larger financial markets or with more overvalued real exchange rates. The main policy implications of our results, particularly for emerging economies, are that bond-led stop episodes were less likely to occur in countries with higher levels of institutional quality, lower capital account restrictions, or more flexible exchange-rate regimes. Finally, we found that capital control played a relatively greater role in predicting bond-led stops in emerging economies than did exchange-rate regimes.

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