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Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies

Author

Listed:
  • Vasilios Plakandaras

    (Department of Economics, Democritus University of Thrace, Komotini, 69100, Greece)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield, 0028, South Africa)

  • Mehmet Balcilar

    (Eastern Mediterranean University, Famagusta, via Mersin 10, Northern Cyprus, Turkey)

  • Qiang Ji

    (Institutes of Science and Development, Chinese Academy of Sciences, Beijing, China; School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing, China)

Abstract

Despite the econometric advances of the last 30 years, the effects of monetary policy stance during the boom and busts of the stock market are not clearly defined. In this paper, we use a structural heterogenous vector autoregressive (SHVAR) model with identified structural breaks to analyze the impact of both conventional and unconventional monetary policies on the U.S. stock market volatility. We find that contractionary monetary policy enhances stock market volatility, but the importance of monetary policy shocks in explaining volatility evolves across different regimes and is relative to supply shocks (and shocks to volatility itself). In comparison to business cycle fluctuations, monetary policy shocks explain a greater fraction of the variance of stock market volatility at shorter horizons, as in medium to longer horizons. Our basic findings of a positive impact of monetary policy on equity market volatility (being relatively stronger during calmer stock markets periods) is also corroborated by analyses conducted at the daily frequency based on an augmented heterogenous autoregressive model of realized volatility (HAR-RV) and a multivariate k-th order nonparametric causality-in-quantiles framework, respectively. Our results have important implications both for investors and policymakers.

Suggested Citation

  • Vasilios Plakandaras & Rangan Gupta & Mehmet Balcilar & Qiang Ji, 2021. "Evolving United States Stock Market Volatility: The Role of Conventional and Unconventional Monetary Policies," Working Papers 202113, University of Pretoria, Department of Economics.
  • Handle: RePEc:pre:wpaper:202113
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    More about this item

    Keywords

    Stock Market Volatility; Conventional and Unconventional Monetary Policies; Structural Breaks; Structural Heterogenous Vector Autoregressive Model; Multivariate Nonparametric higher-Order Causality-in-Quantiles Test; Intraday Data;
    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
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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