Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening

Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening

Abstract This study utilizes two complementary models, the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz (TVP-VAR-DY) and the Time-Varying Parameter Vector Autoregressive Baruník–Křehlík (TVP-VAR-BK), to investigate the dynamic volatility transmission between exchange rates and stock r...

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Bibliographic Details
Main Authors: Farzaneh Ahmadian-Yazdi, Amin Sokhanvar, Soheil Roudari, Aviral Kumar Tiwari
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
Quantitative easing
Quantitative tightening
Stock returns
Exchange rates
COVID-19 crisis
The war in Ukraine
Online Access:https://doi.org/10.1186/s40854-024-00694-4
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https://doi.org/10.1186/s40854-024-00694-4

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