Object
Title: Assessing Monetary Policy Effects on Capital Markets: Evidence from the Euro Area
Publication Details:
Journal or Publication Title:
Date of publication:
Number:
ISSN:
Official URL:
Coverage:
Abstract:
The focus of the paper is the influence the European Central Bank’s monetary policy has on the European capital market. The aim of this research is to investigate the relationship between monetary policy indicators and different segments of the capital market in the Euro area, particularly government, corporate bond and stock markets. We have used a standard structural vector autoregressive (SVAR) modelling methodology based on monthly dataset to evaluate the interrelations between observed six European variables. Impulse response functions and variance decomposition analysis have contributed to the model interpretation. Based on our estimations, we can conclude that each of the observed sectors of the European capital market is interrelated with ECB monetary indicators. The interest rate positive impulses’ impact on bond and stock markets’ volatility evolved mainly within a short period of time. Government, corporate and stock markets, in general, reacted positively to tight monetary policy, although each segment had its own behaviour throughout projection horizon. The outcome of variance decomposition analysis revealed that the fluctuations of the variables could more widely be explained by the shocks directed to themselves.
Place of publishing:
Երևան
Publisher:
Format:
Identifier:
oai:arar.sci.am:375958
Language:
General note:
Նյութը վերցված է Հայաստանի պետական տնտեսագիտական համալսարանի կայքից։
Object collections:
Last modified:
Jan 30, 2025
In our library since:
Jun 24, 2024
Number of object content hits:
5
All available object's versions:
https://arar.sci.am/publication/406731
Show description in RDF format:
Show description in OAI-PMH format:
-
Բանբեր Հայաստանի պետական տնտեսագիտական համալսարանի=Вестник Армянского государственного экономического университета=Messenger of Armenian State University of Economics
-
Բանբեր ՀՊՏՀ, 2011
-
Բանբեր ՀՊՏՀ, 2012
-
Բանբեր ՀՊՏՀ, 2013
-
Բանբեր ՀՊՏՀ, 2014
-
Բանբեր ՀՊՏՀ, 2015
-
Բանբեր ՀՊՏՀ, 2016
-
Բանբեր ՀՊՏՀ, 2017
-
Բանբեր ՀՊՏՀ, 2018
-
Բանբեր ՀՊՏՀ, 2019
-
Բանբեր ՀՊՏՀ, 2020
-
Բանբեր ՀՊՏՀ, 2021
-
Messenger of ASUE, 2022
-
Messenger of ASUE, 2023
-
Messenger of ASUE, 2024
-
Messenger of ASUE, 2024, 1
- Editorial board
- Contents
- Forecasting the Investment Environment
- Assessment of the Impact of Specific Taxes on Economic Growth
- Assessment of the Impact of Compulsory Insurance on Ensuring Economic Growth (the Case of the RA)
- Assessing Monetary Policy Effects on Capital Markets: Evidence from the Euro Area
- Fintech Development Degree in the RA Banking System. Opportunities and Challenges
- Banking Stability Multifactor Modelling Using VARMA Methodology in the Republic of Armenia
- Factor Analysis of Socio-Economic Development of Enlarged Communities in the RA
- Current Trends and Challenges of the Development of Small and Medium-Sized Enterprises in the RA
- Integration of Mind Maps and Cue Cards in the Process of Teaching Business English in Blended Learning Settings
- GDP Growth Consequences for the Air Pollution Levels in Armenia
-
Messenger of ASUE, 2024, 2
-
Messenger of ASUE, 2024, 3
-
Messenger of ASUE, 2024, 1
-
Բանբեր ՀՊՏՀ, 2011
| Edition name | Date |
|---|---|
| Teryan, Diana, Assessing Monetary Policy Effects on Capital Markets: Evidence from the Euro Area | Jan 30, 2025 |
