scholarly journals Spillover impact of the US unconventional monetary policy and uncertainties on stock-bond correlations

2020 ◽  
pp. 17-17
Author(s):  
Abobaker Hadood ◽  
Korhan Gokmenoglu
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Nonlinear Effect ◽  
Developed Countries ◽  
Bond Market ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Unconventional Monetary Policy ◽  
Market Uncertainty ◽  
The Us

This paper investigates the spillover impact of US unconventional monetary policy and uncertainty factors on the time-varying co-movements between the US stock market and 14 advanced countries? bond markets, as based on monthly data from January 2002, to October 2015, and utilising the conditional nonlinear quantile regression approach. The empirical results reveal that US unconventional monetary policy has an asymmetric positive effect on stock-bond market co-movements, with a nonlinear effect in France and Denmark and a strong effect in the UK and Finland. Further, US bond market uncertainty has heterogeneous effects on stock-bond market co-movements, with a nonlinear effect in France and Denmark and a strong effect in Finland and Sweden. In addition, default risk spread positively influences stock-bond market comovements across most countries for all quantiles. In contrast, stock-bond market co-movements negatively and symmetrically respond to the US stock market uncertainty in most countries. Finally, stock-bond co-movements exhibit mixed responses to US economic policy uncertainty across countries. Our results have valuable implications for international investors who allocate capital across developed countries? stock and bond markets. Our findings provide important information for financial communities with regard to diversification and hedging.

scholarly journals Modeling Outcomes of Unconventional Monetary Policy

2019 ◽  
Vol 8 (4) ◽  
pp. 10263-10268
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Consumer Price Index ◽  
Developed Countries ◽  
Central Banks ◽  
Unconventional Monetary Policy ◽  
The Us ◽  
The Developed Countries ◽  
The Global Financial Crisis

The paper presents a study of the outcomes of the unconventional monetary policy methods that the central banks of developed countries have been applying during and after the global financial crisis. Before the crisis central banks used the interest rate policy as their main tool. But the recent financial crisis has demonstrated the inefficiency of traditional methods (especially after the base interest rate has reached zero). Therefore in response to the global financial crisis, central banks of many countries have taken unconventional measures to overcome the crisis. The paper aims to study the main outcomes of unconventional monetary policy measures of the developed countries and formulate the recommendations for the developing countries. The following objectives are being met in the paper:to reveal the essence of the main mechanisms for implementing the unconventional monetary policy; to evaluate the efficiency of unconventional monetary policy in the US, Japan, United Kingdom;to model the impact of monetary policy of the European Central bank on the consumer price index in the Eurozone countries. Research methods: method of comparative analysis is usedto evaluate the efficiency of the unconventional monetary policy in the US, Japan, European Union and the United Kingdom.The model of themonetary policy impact on the consumer price index is based on econometric analysis and is constructed using the least squares method. The studied model includes both traditional and non-traditional methods.Observation period - quarterly data from 1999 to the second quarter of 2019. The results of the analysis show that unconventional monetary policy methods of the central banks of the developed countries reached major goals - to prevent bankruptcies of large financial institutions in national economies. Moreover, the results of the suggested model show that the European Central Bank policy has also reached its inflation target that supposed to stimulate economic growth; the most significant effect is observed in the first years after the launch of an unconventional monetary policy. At the same time the unconventional tools of monetary policy stimulate the extreme increase of the securities prices, which led to the “overheating” of the US stock market and the EU national bonds markets with the negative yield on government securities of several countries, which may become a trigger for a new global crisis in the future. The result of the analysis of monetary policy in Ukraine shows the limitations of the use of non-traditional measures for the developing countries.

scholarly journals Asia Bond Monitor September 2021

2021 ◽  
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Negative Impact ◽  
Bond Market ◽  
Social Risk ◽  
Bond Markets ◽  
Financial Conditions ◽  
Market Capacity ◽  
The Us ◽  
Economic Outlook

In the second quarter of 2021, rising COVID-19 cases have cast a shadow over emerging East Asia's growth outlook. Yet the region's financial conditions remain broadly stable amid accommodative monetary policy stances despite some weakening signs. Local currency (LCY) bond markets in emerging East Asia expanded to $21.1 trillion at the end of June, as governments tapped LCY bonds to support recovery measures and contain the negative impact of rising COVID-19 cases. The ASEAN+3 sustainable bond market expanded to $345.2 billion at the end of Q2 2021, accounting for nearly 19% of the global sustainable bond market. The risk to the outlook for regional financial markets remains tilted to the downside. Uncertainty over recovery prospects due to COVID-19, combined with a strong US economic rebound and possible earlier-than-expected monetary policy normalization in the US, could lead to further weakening of financial conditions. This issue of the Asia Bond Monitor features special boxes on emerging East Asia’s economic outlook, market capacity and central banks’ asset purchasing programs, debt build-up, and social risk in developing Asia.

An empirical study on big data stock volatility forecasting algorithm based on multivariate hybrid criterion fuzzy model

2021 ◽  
pp. 002072092098399
Author(s):  
Zhang Xiao-Wen ◽  
Zeng Min
Keyword(s):  
Big Data ◽  
Stock Market ◽  
Fuzzy Model ◽  
Reference Value ◽  
Developed Countries ◽  
Theoretical Research ◽  
Prediction Algorithm ◽  
Real Economy ◽  
Stock Volatility ◽  
The Us

The fluctuation of the stock market has always been a matter of great concern to investors. People always hope to judge the trend of the stock market through the trend of the K line, so as to obtain the price difference through trading, Therefore, it is a theoretical research concerned by the academic circles to carry out empirical research through big data stock volatility prediction algorithm, so as to establish a model to predict the trend of the stock market. After decades of development, China's stock market has gradually matured in continuous exploration. However, compared with the stock market in developed countries, there are still imperfections. For example, the market value of China's stock market does not improve well with economic growth. Year-on-year growth and the development of the real economy. By studying the historical data from 2002 to 2017, we use the Multivariate Mixed Criterion Fuzzy Model (MMCFM) to predict the price changes in the stock market, and obtain the market in China through error statistical analysis. (SSE) is more unstable than the US stock market. Therefore, Multivariate Mixing Criterion (MMC) can be used as a reference indicator to visually measure market maturity. In this paper, we establish a multivariate mixed criteria fuzzy model, and use big data to predict the stock volatility. The algorithm verifies the reliability and accuracy of the model, which has a good reference value for investors.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

scholarly journals Which News Moves the Euro Area Bond Market?

2009 ◽  
Vol 10 (1) ◽  
pp. 1-31 ◽  
Author(s):  
Magnus Andersson ◽  
Szabolcs Sebestyén ◽  
Lars Jul Overby
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Bond Market ◽  
Bond Markets ◽  
Market Responses ◽  
Macroeconomic Announcements ◽  
Bond Futures

AbstractThis paper explores a long dataset (1999-2005) of intraday prices on German long-term bond futures and examines market responses to major macroeconomic announcements and ECB monetary policy releases. German bond markets tend to react more strongly to the surprise component in US macro releases compared with aggregated and national euro area and UK releases, and the strength of those reactions to US releases has increased over the period considered. We also document that the numbers of German unemployed workers consistently have been known to investors before official releases.

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