Supervisors info:
Καινούργιος Δημήτριος, Επίκουρος Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Summary:
This paper examines the effects of quantitative easing (QE) and unconventional monetary policy programs launched by the European Central Bank after the advent of the global crisis in 2008. We obtain the dynamic correlations between bond markets, stock markets and currency forwards using a DCC-GARCH model and contemplate if and how these correlations differ by the QE and unconventional periods of programs across a range of developed and emerging countries. The empirical results indicate that there is a spillover impact of the programs on the international financial markets, that each program influences the correlations in a different way and that some emerging markets have greater sensitivity to these impacts.
Keywords:
European Central Bank, ECB, Eurozone, International Financial Markets, PIIGS, BRICS, MIST, Egypt, emerging market economies, developed countries, developed markets, DMs, EMEs, emerging markets, EMs, Fed, Federal Reserve, US, Bank of England, Bank of Japan, BoE, BoJ, unconventional monetary policies, unconventional monetary policy measures, cross financial market correlations, DCC-GARCH, dynamic cross correlations, dynamic conditional correlation, Securities Market Program, SMP, Outright Monetary Transactions, OMT, Covered Bond Purchase Program, CBPP, Public Sector Purchase Program, PSPP, Quantitative Easing, QE
