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The interaction between money and asset markets: A spillover index approach

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  1. Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann, 2015. "Business cycle and financial cycle spillovers in the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 154-162.
  2. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
  3. Hong Shen & Qi Pan & Lili Zhao & Pin Ng, 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover," Energies, MDPI, vol. 15(7), pages 1-21, March.
  4. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  5. Ahmad, Wasim, 2017. "On the dynamic dependence and investment performance of crude oil and clean energy stocks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 376-389.
  6. Wiesen, Thomas F.P. & Beaumont, Paul M. & Norrbin, Stefan C. & Srivastava, Anuj, 2018. "Are generalized spillover indices overstating connectedness?," Economics Letters, Elsevier, vol. 173(C), pages 131-134.
  7. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "“Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”," IREA Working Papers 201508, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.
  8. OKIMOTO Tatsuyoshi & TAKAOKA Sumiko, 2017. "No-arbitrage Determinants of Japanese Government Bond Yield and Credit Spread Curves," Discussion papers 17104, Research Institute of Economy, Trade and Industry (RIETI).
  9. Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
  10. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
  11. Alexander Guarín & José Fernando Moreno & Hernando Vargas, 2014. "An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(74), pages 68-86, June.
  12. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
  13. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
  14. David Cronin, 2018. "US inflation and output since the 1970s: a P-star approach," Empirical Economics, Springer, vol. 54(2), pages 567-591, March.
  15. Amanjot Singh & Parneet Kaur, 2017. "A Short Note on Information Transmissions Across US-BRIC Equity Markets: Evidence from Volatility Spillover Index," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 197-208, March.
  16. Wasim Ahmad & Sanjay Sehgal, 2018. "Business Cycle and Financial Cycle Interdependence and the Rising Role of China in SAARC," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 337-362, June.
  17. Ahmad, Wasim & Rais, Shirin & Shaik, Abdul Rahman, 2018. "Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 14-27.
  18. Choi, Sun-Yong & Phiri, Andrew & Teplova, Tamara & Umar, Zaghum, 2024. "Connectedness between (un)conventional monetary policy and islamic and advanced equity markets: A returns and volatility spillover analysis," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 348-363.
  19. Ahmad, Wasim & Mishra, Anil V. & Daly, Kevin J., 2018. "Financial connectedness of BRICS and global sovereign bond markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 1-16.
  20. Nikolaos Antonakakis & Max Breitenlechner & Johann Scharler, 2014. "How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?," Working Papers 2014-07, Faculty of Economics and Statistics, Universität Innsbruck.
  21. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
  22. Hong Shen & Qi Pan, 2022. "Risk Contagion between Commodity Markets and the Macro Economy during COVID-19: Evidence from China," Sustainability, MDPI, vol. 15(1), pages 1-20, December.
  23. Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
  24. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "Volatility spillovers in EMU sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
  25. David Cronin, 2021. "How Do Broad Money and the Stock Market Interact in Times of Crisis and of Calm?," World Economics, World Economics, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 22(3), pages 7-28, July.
  26. Ruzhao Gao & Yancai Zhao & Bing Zhang, 2021. "The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2134-2141, April.
  27. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
  28. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  29. Carrera, César & Ramírez-rondán, Nelson R., 2020. "Effects Of Us Quantitative Easing On Latin American Economies," Macroeconomic Dynamics, Cambridge University Press, vol. 24(8), pages 1989-2011, December.
  30. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
  31. Mustafa Çakır, 2023. "Regional inflation spillovers in Turkey," Economic Change and Restructuring, Springer, vol. 56(2), pages 959-980, April.
  32. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
  33. Thomas F. P. Wiesen & Todd Gabe & Lakshya Bharadwaj, 2023. "Econometric connectedness as a measure of urban influence: evidence from Maine," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-16, December.
  34. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  35. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression," International Review of Financial Analysis, Elsevier, vol. 65(C).
  36. Maruska Vizek, 2019. "The Sovereign Bond Markets Return And Volatility Spillovers," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 597-610, december.
  37. Lilian Muchimba, 2022. "Connectedness of money market instruments: A time-varying vector autoregression approach," Working Papers in Economics & Finance 2022-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
  38. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
  39. Abosedra, Salah & Arayssi, Mahmoud & Ben Sita, Bernard & Mutshinda, Crispin, 2020. "Exploring GDP growth volatility spillovers across countries," Economic Modelling, Elsevier, vol. 89(C), pages 577-589.
  40. Çelik, İsmail & Sak, Ahmet Furkan & Höl, Arife Özdemir & Vergili, Gizem, 2022. "The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  41. Carrera, César & Pérez-Forero, Fernando & Ramírez-Rondán, Nelson, 2014. "Effects of the U.S. quantitative easing on the Peruvian economy," Working Papers 2014-017, Banco Central de Reserva del Perú.
  42. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2020. "No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  43. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
  44. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
  45. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).
  46. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
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