Cross-Financial-Market Correlations and Quantitative Easing

Lawrence Kryzanowski, Jie Zhang, Rui Zhong

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

We examine the correlations between bond markets, stock markets and currency forwards during the quantitative easing (QE) programs launched by the U.S. Federal Reserve. Using DCC-GARCH models, we document a spillover impact of QE on the international financial markets and find that these correlations differ by QE period across developed and emerging countries. Our findings provide new insights into the impact of unconventional monetary policy regimes on the relationships between various international financial asset markets.
Original languageEnglish
Pages (from-to)13-21
JournalFinance Research Letters
Volume20
DOIs
Publication statusPublished - 2017
Externally publishedYes

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