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How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty

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DEEV Oleg PLÍHAL Tomáš

Rok publikování 2022
Druh Článek v odborném periodiku
Časopis / Zdroj Research in International Business and Finance
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://www.sciencedirect.com/science/article/pii/S0275531922000010
Doi http://dx.doi.org/10.1016/j.ribaf.2022.101613
Klíčová slova Volatility;Market uncertainty;COVID-19;Policy actions;Macroprudential policy
Přiložené soubory
Popis Financial markets during the COVID-19 pandemic are characterized by a prolonged period of increased uncertainty. In this paper, we analyse how the announcements of policy interventions and responses, to buffer short-term economic impact of the pandemic and offset financial turmoil, have affected the level of realized volatility in 23 countries. Under the augmented heterogeneous autoregressive model framework, we show that the international calming effect of COVID-19 economic policy actions originates from the US macroprudential policy announcements.
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