The impact of containment measures and monetary and fiscal responses on US financial markets during the COVID-19 pandemic.
Heliyon
; 9(5): e15422, 2023 May.
Article
in English
| MEDLINE | ID: covidwho-2290449
ABSTRACT
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World Market Index (ISLAM) over the period 1/01/2020-10/03/2021. The results suggest that all four indices are highly persistent and exhibit orders of integration close to 1. A small degree of mean reversion is observed only for the S&P500 under the assumption of white noise errors and USTB with autocorrelated errors; therefore, market efficiency appears to hold in most cases. The mortality rate, surprisingly, seems to have affected stock and bond prices positively with autocorrelated errors. As for the policy responses, both the containment and fiscal measures had a rather limited impact, whilst there were significant announcement effects which lifted markets, especially in the case of monetary announcements. There is also evidence of a significant, positive response to changes in the effective Federal funds rate, which suggests that the financial industry, mainly benefiting from interest rises, plays a dominant role.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Heliyon
Year:
2023
Document Type:
Article
Affiliation country:
J.heliyon.2023.e15422
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