Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework
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- Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016.
"The impact of the ECB's conventional and unconventional monetary policies on stock markets,"
Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.
- Reinder Haitsma & Deren Unalmis & Jakob de Haan, 2015. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," DNB Working Papers 483, Netherlands Central Bank, Research Department.
- Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
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More about this item
Keywords
Financial markets; instrumental variable estimation; identification through heteroscedasticity; spillover effects;All these keywords.
JEL classification:
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
- 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
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-05-30 (Central Banking)
- NEP-EEC-2011-05-30 (European Economics)
- NEP-MAC-2011-05-30 (Macroeconomics)
- NEP-MON-2011-05-30 (Monetary Economics)
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