Cross-financial-market correlations and quantitative easing

被引：20
作者：
Kryzanowski, Lawrence [1 ]
Zhang, Jie [1 ]
Zhong, Rui [2 ]
机构：
[1] Concordia Univ, John Malson Sch Business, 1455 De Maisonneuve Blvd West, Montreal, PQ H3G 1M8, Canada
[2] Henan Univ, Sch Econ, 85 Minlun St, Kaifeng, Henan Province, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2017年 / 20卷
基金：
中国博士后科学基金;
关键词：
Quantitative easing; Correlations; Forward contracts; Stock and bond markets; RETURNS; PURCHASES; DYNAMICS;
D O I：
10.1016/j.fr1.2016.06.011
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the correlations between bond markets, stock markets and currency forwards during the quantitative easing (QE) programs launched by the U.S. Federal Reserve. Using DCC-GARCH models, we document a spillover impact of QE on the international financial markets and find that these correlations differ by QE period across developed and emerging countries. Our findings provide new insights into the impact of unconventional monetary policy regimes on the relationships between various international financial asset markets. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码：13 / 21
页数：9
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