The effects of monetary policy response to the Covid-19 crisis on dynamic connectedness across financial markets in Central and Eastern Europe

IF 2.6 Q1 ECONOMICS

Entrepreneurial Business and Economics Review Pub Date : 2023-01-01 DOI:10.15678/eber.2023.110101

Wojciech Grabowski, J. Janus, Ewa Stawasz-grabowska

引用次数: 1

Abstract

This study investigates the effects of monetary policy interventions in Central and Eastern European (CEE) economies on shifts in financial market linkages during the Covid-19-induced crisis. We explore the market reaction to both standard and non-standard (e.g., quantitative easing) monetary policy announcements by central banks in Czechia, Hungary, Poland, and Romania, and analyse the way they affected sovereign bond and stock market linkages. The analysis is further extended to include international spill-over effects. Research Design & Methods: We first quantify a set of time-varying asset correlations using asymmetric generalised DCC-GARCH models and daily data on financial asset returns. Going beyond the domestic stock-bond interdependencies, we explore cross-border connectedness between CEE economies, Germany, and the US. Next, we investigate the effects of detailed central bank announcements, as they unfolded during the Covid-19 crisis.

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应对Covid-19危机的货币政策对中欧和东欧金融市场动态连通性的影响

本研究调查了在2019冠状病毒病引发的危机期间，中欧和东欧经济体货币政策干预对金融市场联系变化的影响。我们探讨了市场对捷克、匈牙利、波兰和罗马尼亚央行宣布的标准和非标准(如量化宽松)货币政策的反应，并分析了它们影响主权债券和股票市场联系的方式。该分析进一步扩展到包括国际溢出效应。研究设计与方法:我们首先使用非对称广义DCC-GARCH模型和金融资产回报的日常数据量化一组时变资产相关性。超越国内股票债券的相互依赖，我们探讨了中东欧经济体、德国和美国之间的跨境联系。接下来，我们将调查央行在2019冠状病毒病危机期间公布的详细公告的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Entrepreneurial Business and Economics Review ECONOMICS-

CiteScore

7.20

自引率

7.90%

发文量

期刊介绍： Entrepreneurial Business and Economics Review (EBER), as multi-disciplinary and multi-contextual journal, is dedicated to serve as a broad and unified platform for revealing and spreading economics and management research focused on entrepreneurship, individual entrepreneurs as well as particular entrepreneurial aspects of business. It attempts to link theory and practice in different sections of economics and management by publishing various types of articles, including research papers, conceptual papers and literature reviews. Our geographical scope of interests include Central and Eastern Europe and emerging markets, however we also welcome articles beyond this scope. The Journal accept the articles from the following fields: -Entrepreneurship and Business Studies (in particular entrepreneurship and innovation, strategic entrepreneurship, corporate entrepreneurship, entrepreneurship methodology, new trends in HRM and HRD as well as organizational behaviour, entrepreneurial management, entrepreneurial business, management methodology, modern trends in business studies and organization theory, policies promoting entrepreneurship, innovation, R&D and SMEs, education for entrepreneurship), -International Business and Global Entrepreneurship (especially international entrepreneurship, European business, and new trends in international business, IB methodology), -International Economics and Applied Economics (in particular the role of entrepreneurship and the entrepreneur in economics, international economics including the economics of the European Union and emerging markets, as well as Europeanization, new trends in economics, economics methodology).