The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001-2016

被引：16

作者：

Miyakoshi, Tatsuyoshi ^{[1
]}

Shimada, Junji ^{[2
]}

Li, Kui-Wai ^{[3
]}

机构：

[1] Hosei Univ, Dept Ind & Syst Engn, 3-7-2 Kajino Cho, Koganei, Tokyo 1848584, Japan

[2] Aoyama Gakuin Univ, Sch Business, Shibuya, Japan

[3] Univ Toronto, Asian Inst, Munk Sch Global Affairs, Toronto, ON, Canada

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2017年 / 49卷

关键词：

Advanced countries; Quantitative easing; Asian stock markets; UNCONVENTIONAL MONETARY-POLICY; ASSET PRICES; JAPAN;

D O I：

10.1016/j.iref.2017.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This empirical paper examines the impact of monetary policy of the United States, European Union and Japan on the stock prices of eight Asian Emerging Markets (AEMs) during the different quantitative easing (QE) policies in 2001-2016. Five VAR models are constructed to incorporate different scenarios. The empirical results show that the QE policy has increased the stock prices of the AEMs, and their stock price inflation is consistent with "carry trade". As the main driver of stock price inflation in the AEMs was Japan before 2008 and US after 2008, the paper concludes that financial integration and interest differentials played an important role in the transmission of monetary policy.

引用

页码：548 / 567

页数：20

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