The quantitative easing effect on the stock market of the USA, the UK and Japan An ARDL approach for the crisis period

被引：83

作者：

Lima, Luiz ^{[1
]}

Vasconcelos, Claudio Foffano ^{[1
]}

Simao, Jose ^{[1
]}

de Mendonca, Helder Ferreira ^{[2
]}

机构：

[1] UFJF Juiz de Fora Fed Univ, Juiz De Fora, Brazil

[2] Univ Fed Fluminense, Dept Econ, Rio De Janeiro, Brazil

来源：

JOURNAL OF ECONOMIC STUDIES | 2016年 / 43卷 / 06期

关键词：

Monetary policy; Stock market; Quantitative easing; Monetary aggregates;

D O I：

10.1108/JES-05-2015-0081

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Purpose - The purpose of this paper is to analyze if the unconventional monetary policy, known as quantitative easing (QE) practiced by central banks in the USA, the UK, and Japan was effective to increase the market share after subprime crisis. Design/methodology/approach - In order to analyze the effect of the QE on the stock markets of the USA, the UK, and Japan, the authors use an ARDL model to find the long-run relationship among the variables. Findings - The findings denote that the QE implemented by the central banks in the USA, Japan, and the UK had a positive impact on their stock markets. Originality/value - The results of the paper give some new insights about the conduction of monetary policy when the interest rates are close to zero.

引用

页码：1006 / 1021

页数：16

共 33 条

[1] A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China [J].