Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/198538 
Year of Publication: 
2018
Citation: 
[Journal:] CES Working Papers [ISSN:] 2067-7693 [Volume:] 10 [Issue:] 2 [Publisher:] Alexandru Ioan Cuza University of Iasi, Centre for European Studies [Place:] Iasi [Year:] 2018 [Pages:] 149-166
Publisher: 
Alexandru Ioan Cuza University of Iasi, Centre for European Studies, Iasi
Abstract: 
The announcement made by the Fed Chairman, Ben Bernanke, on May 22, 2013 regarding the reduction of the quantitative easing programme that took by storm the financial markets determined the significant volatility increase of the US markets and it was not limited to it. The financial markets in the emerging countries that benefited from an increase in their financial flows during the quantitative easing programme were the most affected by this announcement through the volatility increase, depreciation of exchange rate and massive capital outflows. The current paper tackles volatility and volatility transmission from the US market determined by the change of monetary policy to the Eastern European markets. To study the volatility of each stock and bond market of the countries in Eastern Europe, we used univariate heteroscedastic models while for the analysis of volatility transmission from the US market to the Eastern European markets we used the multivariate heteroscedastic models. The results obtained confirm the volatility transmission both on the stock markets, with the exception of Latvia and Lithuania, and on the bond markets in Eastern Europe.
Subjects: 
stock market
bond markets
return spillover
volatility spillover
multivariate heteroscedastic model
Creative Commons License: 
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Document Type: 
Article

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