IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v22y2015i10p820-824.html
   My bibliography  Save this article

Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach

Author

Listed:
  • Xiaojun Chu

Abstract

This article investigates the dependence structure between monetary policy and stock market liquidity in China. The dynamic 'symmetrized JC' copula copula is applied to capture evolving asymmetric behaviours and tail dependence. The empirical evidence shows that less liquid stock markets are influenced by contractionary monetary policy, and highly liquid stock markets are dependent on expansionary monetary policy. The asymmetric effect of monetary shocks on stock market liquidity is also found. The empirical results also indicate that the strength of lower-tail dependence between monetary liquidity and stock liquidity rises significantly for the post-crisis period.

Suggested Citation

  • Xiaojun Chu, 2015. "Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach," Applied Economics Letters, Taylor & Francis Journals, vol. 22(10), pages 820-824, July.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:10:p:820-824
    DOI: 10.1080/13504851.2014.980566
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2014.980566
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2014.980566?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Byomakesh Debata & Jitendra Mahakud, 2018. "Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 12(4), pages 387-413, November.
    2. Wang, Rui & Liao, Xin & Peng, Zuoxiang, 2017. "Second-order expansions for maxima of dynamic bivariate normal copulas," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 275-283.
    3. Godfrey Marozva, 2020. "Stock Market Liquidity and Monetary Policy," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 265-275.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:22:y:2015:i:10:p:820-824. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.