Demetrio Lacava, Giampiero M. Gallo, Edoardo Otranto
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Unconventional policies effects on stock market volatility: The MAP approach
Taking the European Central Bank unconventional policies as a reference, we suggest a class of multiplicative error models (MEMs) tailored to analyse the impact such policies have on stock market volatility. The new set of models, called MEM with asymmetry and policy effects, keeps the base volatility dynamics separate from a component reproducing policy effects, with an increase in volatility on announcement days and a decrease unfolding implementation effects. When applied to four Eurozone markets, a model confidence set approach finds a significant improvement of the forecasting power of the proxy after the expanded asset purchase programme implementation. A multi-step ahead forecasting exercise estimates the duration of the effect; by shocking the policy variable, we are able to quantify the reduction in volatility which is more marked for debt-troubled countries.
期刊介绍:
The Journal of the Royal Statistical Society, Series C (Applied Statistics) is a journal of international repute for statisticians both inside and outside the academic world. The journal is concerned with papers which deal with novel solutions to real life statistical problems by adapting or developing methodology, or by demonstrating the proper application of new or existing statistical methods to them. At their heart therefore the papers in the journal are motivated by examples and statistical data of all kinds. The subject-matter covers the whole range of inter-disciplinary fields, e.g. applications in agriculture, genetics, industry, medicine and the physical sciences, and papers on design issues (e.g. in relation to experiments, surveys or observational studies).
A deep understanding of statistical methodology is not necessary to appreciate the content. Although papers describing developments in statistical computing driven by practical examples are within its scope, the journal is not concerned with simply numerical illustrations or simulation studies. The emphasis of Series C is on case-studies of statistical analyses in practice.