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Full-Text Articles in Macroeconomics
Essays On Spillover Effects Across U.S And China, Zhuo Xi
Essays On Spillover Effects Across U.S And China, Zhuo Xi
Dissertations, Theses, and Capstone Projects
Chapter1: With the rapid development and continuous advancement of economic globalization, the links between countries around the world have become increasingly tight. Among them, the United States, as the world's largest economy, its monetary policy is bound to cause significant spillover effects on other economies around the world. By constructing a Threshold SVAR model with monthly data from 1996 to 2019, this paper empirically investigates the spillover effects of US monetary policy on China's economy during different U.S policy regimes. The transmission mechanism of such effects has been tested through different channels including policy channel, trade channel, asset value channel …
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala
A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala
Undergraduate Economic Review
This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.
The Relationship Between Inflation And Inflation Uncertainty In Emerging Market Economies, John Thornton
The Relationship Between Inflation And Inflation Uncertainty In Emerging Market Economies, John Thornton
John Thornton
A standard Generalized Autoregressive Conditional Heteroskedastic (q,v) model is employed to construct a measure of monthly intlation uncertainty in 12 emerging market economies, and the relationship between inflation and inflation uncertainty is examined using Granger causality tests. The results suggest that higher inflation rates increased inflation uncertainty in all the economies, providing strong support for the Friedman hypothesis. The evidence on the effect of inflation uncertainty on average monthly inflation is more mixed, with increased inflation uncertainty leading to lower average inflation in Colombia. Israel. Mexico, and Turkey, consistent with the Holland hypothesis, but to higher average intlation in Hungary. …