ECB's unconventional monetary policy and cross-financial-market correlation dynamics
ECB's unconventional monetary policy and cross-financial-market correlation dynamics
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DOI：
10.1016/j.najef.2019.101045
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发表时间：
2019-11-01
影响因子：
3.6
通讯作者：
Dimitriou, Dimitrios
中科院分区：
文献类型：
--
作者：
Kenourgios, Dimitris;Drakonaki, Emmanouela;Dimitriou, Dimitrios
本文考察了欧洲央行推出的非常规货币政策（UMP）对债券、股票和货币远期市场之间的跨市场相关性的影响。使用动态条件相关性分析和几个鲁棒性测试，我们研究了在四个UMP期间和一系列发达国家和新兴市场经济体之间的相关性动态可能存在的差异。实证结果表明，对发达市场和新兴市场的溢出效应，虽然这种影响是不相同的资产和国家。我们还发现，2014年开始的新UMP阶段具有更显著的影响，突出了前一波和新一波UMP之间的影响以及跨市场相关性的差异。
This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate possible differences on the correlation dynamics across four UMP periods and across a range of developed countries and emerging market economies. The empirical results indicate a spillover effect on both developed and emerging markets, although this impact is not identical across assets and countries. We also find that the new UMP phase started in 2014 has a more prominent impact, highlighting differences on the impact between the earlier and the new wave of UMPs and across cross-market correlations.