VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE'S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION

被引：27

作者：

Syed, Qasim Raza ^{[1
]}

Malik, Waseem Shahid ^{[2
]}

Chang, Bisharat Hussain ^{[1
]}

机构：

[1] SZABIST, Dept Management Sci, Larkana Campus, Larkana, Sindh, Pakistan

[2] Univ Peshawar, Dept Econ, Peshawar, Khyber Pakhtunk, Pakistan

来源：

ANNALS OF FINANCIAL ECONOMICS | 2019年 / 14卷 / 03期

关键词：

Volatility spillover; balance sheet assets; diagonal BEKK-GARCH; unconventional monetary policy; MONETARY-POLICY; FUTURES; IMPACT; SPOT;

D O I：

10.1142/S2010495219500155

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed's balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

引用

页数：18