Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

Abstract: 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....

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Autores principales:	Zubair Mumtaz,Muhammad, Smith,Zachary Alexander
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2019
Materias:	Spillover effect monetary policy Markov-switching models European stock markets JEL Classification: C22, E44, E52, G15
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100089
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spelling	oai:scielo:S0718-528620190001000892019-07-31Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approachZubair Mumtaz,MuhammadSmith,Zachary Alexander Spillover effect monetary policy Markov-switching models European stock markets JEL Classification: C22, E44, E52, G15 Abstract: 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.46 n.1 20192019-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100089en10.4067/S0718-52862019000100089
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Spillover effect monetary policy Markov-switching models European stock markets JEL Classification: C22, E44, E52, G15
spellingShingle	Spillover effect monetary policy Markov-switching models European stock markets JEL Classification: C22, E44, E52, G15 Zubair Mumtaz,Muhammad Smith,Zachary Alexander Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
description	Abstract: 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.
author	Zubair Mumtaz,Muhammad Smith,Zachary Alexander
author_facet	Zubair Mumtaz,Muhammad Smith,Zachary Alexander
author_sort	Zubair Mumtaz,Muhammad
title	Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
title_short	Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
title_full	Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
title_fullStr	Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
title_full_unstemmed	Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach
title_sort	examining spillover effect of us monetary policy to european stock markets: a markov-switching approach
publisher	Universidad de Chile. Departamento de Economía
publishDate	2019
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862019000100089
work_keys_str_mv	AT zubairmumtazmuhammad examiningspillovereffectofusmonetarypolicytoeuropeanstockmarketsamarkovswitchingapproach AT smithzacharyalexander examiningspillovereffectofusmonetarypolicytoeuropeanstockmarketsamarkovswitchingapproach
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Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

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