The effects of monetary policy response to the Covid-19 crisis on dynamic connectedness across financial markets in Central and Eastern Europe
Entrepreneurial Business and Economics Review
; 11(1):7-28, 2023.
Article
in English
| ProQuest Central | ID: covidwho-2295764
ABSTRACT
This study investigates the effects of monetary policy interventions in Central and Eastern European (CEE) economies on shifts in financial market linkages during the Covid-19-induced crisis. We explore the market reaction to both standard and non-standard (e.g., quantitative easing) monetary policy announcements by central banks in Czechia, Hungary, Poland, and Romania, and analyse the way they affected sovereign bond and stock market linkages. The analysis is further extended to include international spill-over effects. Research Design & Methods:
We first quantify a set of time-varying asset correlations using asymmetric generalised DCC-GARCH models and daily data on financial asset returns. Going beyond the domestic stock-bond interdependencies, we explore cross-border connectedness between CEE economies, Germany, and the US. Next, we investigate the effects of detailed central bank announcements, as they unfolded during the Covid-19 crisis.
Business And Economics--International Commerce; Monetary policy; Transition economies; Securities markets; Pandemics; Asset acquisitions; Stochastic models; Central banks; Coronaviruses; Disease transmission; COVID-19; Czech Republic; Romania; Hungary; United States--US; Eastern Europe; Poland; Germany; 52111:Monetary Authorities-Central Bank
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Type of study:
Experimental Studies
Language:
English
Journal:
Entrepreneurial Business and Economics Review
Year:
2023
Document Type:
Article
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