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Titel (übersetzt): 
Examinando efectos de rebalse de la política monetaria de Estados Unidos sobre los mercados accionarios europeos: Un efecto de cambios de Markov
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 46 [Issue:] 1 [Year:] 2019 [Pages:] 89-124
Verlag: 
Universidad de Chile, Departamento de Economía, Santiago de Chile
Zusammenfassung: 
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We find mixed results when applying the multivariate Markov-switching models. The results report a positive relationship between the US interest rate and developed stock markets except for the Finish, Swiss, Swedish and UK stock markets whereas our findings confirm a positive relationship with the developing stock markets except for the Slovenian and Ukraine stock markets. Importantly, the nature of this effect varies during the economic crisis period. This study also compares the spillover effect between Asian and European stock markets and concludes that the effect of US monetary policy varies from market to market, however, changes in US monetary policy have greater effects on developed markets.
Schlagwörter: 
Spillover effect
monetary policy
Markov-switching models
European stock markets
JEL: 
C22
E44
E52
G15
Creative-Commons-Lizenz: 
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Dokumentart: 
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