欧元区阴影下非常规货币政策对资本市场的溢出效应:非欧元区国家样本

IF 0.4 Q4 ECONOMICS Review of Economic Perspectives Pub Date : 2020-06-01 DOI:10.2478/revecp-2020-0008
Mercédesz Mészáros, G. Kiss
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引用次数: 4

摘要

2008年金融危机以来,货币政策传导机制一直以直接货币措施为主。而非常规货币工具的间接影响尚未得到充分探讨。货币政策和融资条件决定了债券、股票和货币市场的定价情绪,由其主要指标的波动性表示:股票市场指数、汇率和收益率溢价。我们的理论模型在确定导致波动的变量时考虑了溢出效应:国际金融机构(如ESM或IMF)的活动由虚拟变量表示,而欧洲央行阴影下的有限自主权则通过类似引力的方法获得。本文采用随机效应面板回归模型对2007年至2019年间欧元区以外的6个欧盟成员国和瑞士进行了分析,以确定溢出效应对资本市场波动的影响差异。所获得的结果被认为对绘制近期持续货币宽松的潜在影响是有用的。
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Spillover effects of unconventional monetary policy on capital markets in the shadow of the Eurozone: A sample of non-Eurozone countries
Abstract The transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and currency markets, represented by the volatilities of their main indicators: stock market indices, exchange rates, and yield premia. Our theoretical model takes spillover effects into account when it determines the variables which are responsible for volatility: the activities of international financial institutions (like the ESM or the IMF) are represented by dummy variables, while the limited autonomy in the shadow of the ECB is captured through gravity-like approaches. Six EU member states outside the Eurozone and Switzerland were analysed between 2007 and 2019 with random effect panel regression models to identify the differences in the impact of spillover effects on capital market volatilities. The results obtained are considered to be useful in mapping the potential effects of continuing monetary easing in the near future.
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来源期刊
CiteScore
1.40
自引率
0.00%
发文量
10
审稿时长
38 weeks
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