Author: 石傑森Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Analysis of Quantitative Easing's Effect on Volatility in the U.S. Stock Market
Author: 石傑森The Effect of Fed's Quantitative Easing on Stock Volatility
Author: Ji TanPublisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
In this paper we have accomplished 3 tasks. (1) By employing several statistical techniques on 2 different sets of data, we show the “Quantitative Easing” policy by Federal Reserve has significant negative impact to the stock market volatility. (2) We proposed a new CEV-class model to for stock volatility, adding to the literature of asymmetric stock volatility, and at the same time use event analysis to account for shocks from external sources, e.g. Fed. (3) We predict that the end of QE2 would induce a short term jump in the stock volatility, which would then goes back to normal levels in the middle term.
Quantitative Easing and the U.S. Stock Market
Author: Ramaprasad BharPublisher:
ISBN:
Category :
Languages : en
Pages : 21
Book Description
The Financial Crisis of 2007-09 caused the U.S. economy to experience a relatively long recession from December 2007 to June 2009. Both the U.S. government and the Federal Reserve undertook expansive fiscal and monetary policies to minimize both the severity and length of the recession. Most notably, the Federal Reserve initiated three rounds of unconventional monetary policies known as Quantitative Easing. These policies were intended to reduce long-term interest rates when the short term federal funds rates had reached the zero lower bound and could not become negative. It was argued that the lowering of longer-term interest rates would help the stock market and thus the wealth of consumers. This paper investigates this hypothesis and concludes that quantitative easing has contributed to the observed increases in the stock market's significant recovery since its crash due to the financial crisis.
The Effect of U.S. Quantitative Easing on Equity Market Volatility
Author: John James DunneAn Analysis of the VIX Volatility Index on the US Treasuries, Specifically During the Periods of Quantitative Easing
Author: Carolyne SoperPublisher:
ISBN:
Category :
Languages : en
Pages : 13
Book Description
Volatility is a concern of many investors. In turbulent financial times there can be a flight from the equity market to treasury bonds in order to provide greater security, liquidity and guarantee of returns. Calculated as a weighted average of put and call options on the S&P 500 Index, the VIX is considered as a forecasting indicator of the S&P 500 Index's volatility over a one-month period. The dependent variable in this study is the 10-year Treasury note. The 10-year T-note is the most widely tracked government bond, and it is used as a benchmark for banks and the Treasury market in calculating mortgage rates. One conclusion of this analysis is that implied stock volatility may be a valuable variable for financial applications that need to interpret and predict stock and bond market co-movements. Based the empirical analysis conducted; across models the change in VIX was predictive of the change in treasury. The model examination determined that in the model that included the autoregressive and moving average provided the most accurate results.
Quantitative Easing Announcements and High-Frequency Stock Market Volatility
Author: Shaen CorbetPublisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
In November 2008, the United States (US) Federal Reserve began purchasing mortgage-backed security obligations, in an attempt to support the failing housing market and improve financial market conditions. This paper provides an investigation of the volatility effects associated with regularly scheduled US Federal Reserve quantitative easing (QE) announcements, using high-frequency returns data. We find significant and substantial increases of stock market volatility immediately after a policy announcement, peaking in the hour following each Federal Open Market Committee (FOMC) announcement. The increase in volatility is largest when the market is provided with forewarning of an announcement. Unexpected announcements lead to longer short-term volatility persistence. Volatility persistence is amplified when the contents of the surprise announcement are positive. Finally, we find evidence of an increase in market returns prior to a FOMC announcement.
How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis
Author: International Monetary FundPublisher: International Monetary Fund
ISBN: 1451873514
Category : Business & Economics
Languages : en
Pages : 50
Book Description
This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidity risk premia. Announcements of interest rate cuts, liquidity support, liability guarantees, and recapitalization were associated with a reduction of interbank risk premia, albeit to a different degree during the subprime and global phases of the crisis. Decisions not to reduce interest rates and bail out individual banks in an ad hoc manner had adverse repercussions, both domestically and abroad. The results are robust to controlling for the surprise content of announcements and using alternative measures of financial distress.
Quantitative Easing and US Stock Prices
Author: Miguel VillanuevaPublisher:
ISBN:
Category :
Languages : en
Pages : 37
Book Description
Conventional wisdom is that unconventional monetary policy a.k.a. Quantitative Easing (QE) pursued by the Federal Reserve has helped sustain and even boost U.S. stock market prices in the aftermath of the Global Financial Crisis. By design, QE has supported long-term Treasury bond prices and put downward pressure on long term rates; however the link to stock prices is more complicated because other factors operate as well, e.g., the performance of stock markets in the rest of the world, US dollar performance, virtually zero fed funds rate via conventional monetary policy (independent of policies such as QE), and changes in the interaction between economic activity and credit conditions - as measured for instance by the high yield spread along the lines of the financial accelerator theory. This paper presents evidence that these other factors explain most of the variation in stock returns before and after the financial crisis with stable coefficients and that the different rounds of QE explain significantly some of the remaining variation in stock prices. A vector autoregression provides further evidence of the effects of QE on stock returns and its relative importance vis-à-vis other variables via a Pesaran-Shin generalized impulse-response analysis (invariant to the causality ordering). The evidence in this paper is consistent with the boost in stock prices after the Fed actually started tapering in January 2014 because the “fundamentals” were supportive of the stock market. Furthermore, if the positive effects of QE on the stock market are less strong than commonly believed, the negative effects from a gradual shrinking of the Fed's balance sheet may not be as bad as commonly feared.
Quantitative Easing and Its Impact in the US, Japan, the UK and Europe
Author: Kjell HauskenPublisher: Springer Science & Business Media
ISBN: 1461496462
Category : Business & Economics
Languages : en
Pages : 129
Book Description
This volume empirically analyzes the effects of quantitative easing (QE) on interest rates and the economy in the US, Japan, UK and Europe. Using an event-study methodology, the authors find that the measures undertaken by the Federal Reserve and Bank of England, which focus primarily on bond purchases, are much more effective in lowering interest rates than those undertaken by the Bank of Japan and the European Central Bank, which have relied more heavily on lending to private financial institutions. Using large Bayesian vector autoregression (BVAR) models they also analyze the impact of QE on the wider economy. They produce no-QE counterfactual forecasts that are compared with their corresponding baseline forecasts, incorporating the effects of QE on government bond spreads. Despite the failure of stimulating economic activities as a whole, the simulation results suggest that the unconventional monetary policies have a positive influence on industrial production in the US, UK and Japan. The authors’ analysis finds that QE contributes to the reduction in unemployment in the US and Japan, and a rise in inflation-expectations in the US, UK and Euro zone. However, evidence on QE’s effect on house prices, stock prices, consumer confidence, and exchange rate, is mixed and thus inconclusive.
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