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Mészáros Mercédesz (University of Szeged, Hungary), Sallai Dóra (University of Szeged, Hungary), Kiss Gábor Dávid (University of Szeged, Hungary)
Can Market Making of Last Resort Calm the European Stock Markets? The Result of Quantile Regressions on a Sample of Six European Countries
Econometric Research in Finance, 2021, vol. 6, nr 1, s. 21-44, rys., bibliogr. 61 poz.
Słowa kluczowe
Polityka pieniężna, Zmienność, Indeks giełdowy, Banki
Monetary policy, Variability, Stock market indexes, Banks
JEL classification: C31, C33, E58, D53.
Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression(original abstract)
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Biblioteka Szkoły Głównej Handlowej w Warszawie
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