Artikel
Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We find mixed results when applying the multivariate Markov-switching models. The results report a positive relationship between the US interest rate and developed stock markets except for the Finish, Swiss, Swedish and UK stock markets whereas our findings confirm a positive relationship with the developing stock markets except for the Slovenian and Ukraine stock markets. Importantly, the nature of this effect varies during the economic crisis period. This study also compares the spillover effect between Asian and European stock markets and concludes that the effect of US monetary policy varies from market to market, however, changes in US monetary policy have greater effects on developed markets.
- Alternative title
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Examinando efectos de rebalse de la política monetaria de Estados Unidos sobre los mercados accionarios europeos: Un efecto de cambios de Markov
- Language
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Englisch
- Bibliographic citation
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Journal: Estudios de Economía ; ISSN: 0718-5286 ; Volume: 46 ; Year: 2019 ; Issue: 1 ; Pages: 89-124
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Markets and the Macroeconomy
Monetary Policy
International Financial Markets
- Subject
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Spillover effect
monetary policy
Markov-switching models
European stock markets
- Event
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Geistige Schöpfung
- (who)
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Mumtaz, Muhammad Zubair
Smith, Zachary Alexander
- Event
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Veröffentlichung
- (who)
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Universidad de Chile, Departamento de Economía
- (where)
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Santiago de Chile
- (when)
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2019
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Mumtaz, Muhammad Zubair
- Smith, Zachary Alexander
- Universidad de Chile, Departamento de Economía
Time of origin
- 2019
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