Cross-Financial-Market Correlations and Quantitative Easing

Lawrence Kryzanowski; Jie Zhang; Rui Zhong

doi:10.1016/j.frl.2016.06.011

Cross-Financial-Market Correlations and Quantitative Easing

Lawrence Kryzanowski, Jie Zhang, Rui Zhong

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	13-21
Journal	Finance Research Letters
Volume	20
DOIs	https://doi.org/10.1016/j.frl.2016.06.011
Publication status	Published - 2017
Externally published	Yes

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Kryzanowski, L., Zhang, J., & Zhong, R. (2017). Cross-Financial-Market Correlations and Quantitative Easing. Finance Research Letters, 20, 13-21. https://doi.org/10.1016/j.frl.2016.06.011

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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.",

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AB - 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.

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