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Quantitative Easing, Tapering And Stock Market Indices

Author

Listed:
  • Lucian Liviu ALBU

    (Institute for Economic Forecasting, Romanian Academy)

  • Radu LUPU

    (Institute for Economic Forecasting, Romanian Academy)

  • Adrian Cantemir CĂLIN

    () (Institute for Economic Forecasting, Romanian Academy)

Abstract

We investigate a series of unconventional monetary policies put forward by the Federal Reserve in order to fight the economic turbulence that followed the crisis of 2008. Building on our previous work, we study QE and tapering initiatives, focusing on the impact induced on a series of stock indices belonging to both mature and developing markets. A special attention is given to CEE markets. Our results indicate the fact that both the QE policy and the gradual exit from it had serious effects on the dynamics of the considered indices in terms of volatility.

Suggested Citation

  • Lucian Liviu ALBU & Radu LUPU & Adrian Cantemir CĂLIN, 2016. "Quantitative Easing, Tapering And Stock Market Indices," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 5-23.
  • Handle: RePEc:cys:ecocyb:v:50:y:2016:i:3:p:5-23
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    References listed on IDEAS

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    1. Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012. "The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, Royal Economic Society, vol. 122(564), pages 415-446, November.
    2. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
    3. Ahmed, Shaghil & Coulibaly, Brahima & Zlate, Andrei, 2017. "International financial spillovers to emerging market economies: How important are economic fundamentals?," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 133-152.
    4. Joshua Aizenman & Mahir Binici & Michael M. Hutchison, 2016. "The Transmission of Federal Reserve Tapering News to Emerging Financial Markets," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 317-356, June.
    5. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
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    Cited by:

    1. repec:rjr:romjef:v::y:2017:i:2:p:124-134 is not listed on IDEAS
    2. repec:rjr:romjef:v::y:2017:i:3:p:150-165 is not listed on IDEAS

    More about this item

    Keywords

    quantitative easing; tapering; monetary policy; stock markets;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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