Macroeconomic Policies Interaction & the Symmetry of Financial Markets' Responses

被引：1

作者：

Nasir, Muhammad Ali ^{[1
]}

Soliman, Alaa M. ^{[1
]}

Yago, Milton ^{[1
]}

Wu, Junjie ^{[1
]}

机构：

[1] Leeds Beckett Univ, Fac Business & Law, Leeds LS1 3HS, W Yorkshire, England

来源：

JOURNAL OF CENTRAL BANKING THEORY AND PRACTICE | 2016年 / 5卷 / 01期

关键词：

Financial Markets; Macroeconomic Policy Interaction; Symmetry of financial markets responses;

D O I：

10.1515/jcbtp-2016-0003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This concise study analyses the symmetry of financial markets' responses to macroeconomic policy interaction in the United Kingdom. Employing the Vector Auto-regression (VAR) model on monthly data of the British financial sector and macroeconomic policies from January 1985 to August 2008, this study found that the equity and sovereign debt markets showed identical symmetry in response to macroeconomic policy interaction.

引用

页码：53 / 69

页数：17

共 31 条

[1]

Airaudo M, 2011, MONETARY POLICY ASSE

[2]

[Anonymous], 2014, EC ISSUES

[3] Financial markets' behavior around episodes of large changes in the fiscal stance [J].

Ardagna, Silvia .

EUROPEAN ECONOMIC REVIEW, 2009, 53 (01) :37-55

[4]

BASU S., 2013, ESTIMATION HIGH DIME

[5]

BERNANKE BS, 1992, AM ECON REV, V82, P901

[6]

Broome S., 2004, J ASIAN ECON, V15, P189

[7] SOME LESSONS FROM THE YIELD CURVE [J].

CAMPBELL, JY .

JOURNAL OF ECONOMIC PERSPECTIVES, 1995, 9 (03) :129-152

[8]

Canova F, 2007, METHODS APPL MACROEC

[9] How Large Are Housing and Financial Wealth Effects? A New Approach [J].

Carroll, Christopher D. ;

Otsuka, Misuzu ;

Slacalek, Jiri .

JOURNAL OF MONEY CREDIT AND BANKING, 2011, 43 (01) :55-79

[10]

David Gulley O., 2003, APPL FINANCIAL EC, V13, P199

← 1 2 3 4 →