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The volatility spillovers of U.S. quantitative easing: evidence from Australia
thesisposted on 2022-03-28, 02:53 authored by Hamid Yahyaei
This dissertation investigates the cross-market volatility spillovers induced by U.S. Quantitative Easing (QE) programs. Specifically, this study examines the volatility that commences in U.S. financial markets and spreads to Australian equity and government bond markets. The study features the creation of animplied volatility index for the Australian government bond market that is considered alongside other implied volatility indices to create dynamic measures of cross-market spillovers. Data-driven Structural Vector Autoregressive (SVAR) models are then estimated to assess the impact of an unexpected QE shock on volatility transmission. The study finds evidence of an intensification of volatility spillovers that is explained by QE, primarily during the period of policy normalisation. The QE-induced volatility transmission between the U.S. and Australian equity markets is found to be especially pronounced. Furthermore, the results show that contractionary QE shocks promote an increase in volatility spillovers, while expansionary shocks suppress them. This study is among the first to provide a comprehensive analysis of the cross-border effects of U.S. QE programs on Australian financial markets, contributing to a growing set of literature that examines the implications of unconventional monetary policies -- abstract.
Table of Contents1. Introduction -- 2. Review of literature -- 3. Data and methodology -- 4. Empirical results -- 5. Discussion and policy implications -- 6. Concluding remarks -- References -- Appendices.
NotesBibliography: pages 81-88 Theoretical thesis.
Awarding InstitutionMacquarie University
Degree TypeThesis MRes
DegreeMRes, Macquarie University, Macquarie University Business School, Department of Applied Finance
Department, Centre or SchoolMacquarie University Business School
Year of Award2020
Principal SupervisorAbhay Singh
Additional Supervisor 1Lurion De Mello
RightsCopyright Hamid Yahyaei 2020. Copyright disclaimer: http://mq.edu.au/library/copyright
Extent1 online resource (129 pages)
Former Identifiersmq:72036 http://hdl.handle.net/1959.14/1280773