How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00129120" target="_blank" >RIV/00216224:14560/22:00129120 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0275531922000010" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0275531922000010</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ribaf.2022.101613" target="_blank" >10.1016/j.ribaf.2022.101613</a>

Result language
angličtina
Original language name
How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty
Original language description
Financial markets during the COVID-19 pandemic are characterized by a prolonged period of increased uncertainty. In this paper, we analyse how the announcements of policy interventions and responses, to buffer short-term economic impact of the pandemic and offset financial turmoil, have affected the level of realized volatility in 23 countries. Under the augmented heterogeneous autoregressive model framework, we show that the international calming effect of COVID-19 economic policy actions originates from the US macroprudential policy announcements.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA18-05829S" target="_blank" >GA18-05829S: Forecasting Volatility in Emerging Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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