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The volatility spillovers of U.S. quantitative easing: evidence from Australia

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posted on 28.03.2022, 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.

History

Table of Contents

1. Introduction -- 2. Review of literature -- 3. Data and methodology -- 4. Empirical results -- 5. Discussion and policy implications -- 6. Concluding remarks -- References -- Appendices.

Notes

Bibliography: pages 81-88 Theoretical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

MRes, Macquarie University, Macquarie University Business School, Department of Applied Finance

Department, Centre or School

Macquarie University Business School

Year of Award

2020

Principal Supervisor

Abhay Singh

Additional Supervisor 1

Lurion De Mello

Rights

Copyright Hamid Yahyaei 2020. Copyright disclaimer: http://mq.edu.au/library/copyright

Language

English

Extent

1 online resource (129 pages)

Former Identifiers

mq:72036 http://hdl.handle.net/1959.14/1280773