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US monetary policy and BRICS stock market bubbles

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  • Gupta, Rangan
  • Nel, Jacobus
  • Nielsen, Joshua

Abstract

We use the multi-scale Log-Periodic Power Law Singularity (LPPLS) confidence indicator approach to detect both positive and negative bubbles at short-, medium- and long-run for the stock markets of the BRICS countries. Then, we utilize impulse responses obtained from the local projection method (LPM) framework to capture the effect of US monetary policy shocks on the BRICS bloc equity market. The effect of these shocks on the bubble indicators for each country is limited, with a strong positive impact observed under the medium-term negative bubble indicator of Brazil, China and South Africa. Given the findings, associated policy implications are discussed.

Suggested Citation

  • Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "US monetary policy and BRICS stock market bubbles," Finance Research Letters, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006122
    DOI: 10.1016/j.frl.2022.103435
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    Cited by:

    1. Renee van Eyden & Rangan Gupta & Xin Sheng & Joshua Nielsen, 2023. "Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty," Working Papers 202332, University of Pretoria, Department of Economics.
    2. Oguzhan Cepni & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2023. "Monetary Policy Shocks and Multi-Scale Positive and Negative Bubbles in an Emerging Country: The Case of India," Working Papers 202305, University of Pretoria, Department of Economics.
    3. Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.

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    More about this item

    Keywords

    Multi-scale bubbles; Local projection method; US monetary policy; BRICS countries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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