Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
DOI:
https://doi.org/10.11606/1980-5330/ea146035Keywords:
quantitative easing, event study, abnormal returns, linear and nonlinear tests, bovespa indexAbstract
Facing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.
Downloads
References
Almeida, H. J. F., Giovanini, A., Oliveira Saath, K. C. & Biage, M. (2018), ‘A política de quantitative easing adotada pelo Fed altera a volatilidade dos ativos no Brasil?’, Análise Econômica 36(69).
Bauer, M. D. & Rudebusch, G. D. (2014), ‘Monetary policy expectations at the zero lower bound’, Available at SSRN 2334540 .
Bernanke, B. (2012), Monetary policy since the onset of the crisis, in ‘Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming’, Vol. 31.
Bernanke, B. S. (2010), The economic outlook and monetary policy, in ‘Speech at the Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming’, Vol. 27.
Bordo, M. D. (2014), ‘Exiting from low interest rates to normality: an historical perspective’, HOOVER INSTITUTION, Economics Working Papers .
Breedon, F., Chadha, J. S. & Waters, A. (2012), ‘The financial market impact of UK quantitative easing’, Oxford Review of Economic Policy 28(4), 702–728.
Brooks, C., Garrett, I. & Hinich, M. J. (1999), ‘An alternative approach to investigating lead-lag relationships between stock and stock index futures markets’, Applied Financial Economics 9(6), 605–613. URL: https://doi.org/10.1080/096031099332050
Brown, S. J. & Warner, J. B. (1980), ‘Measuring security price performance’, Journal of financial economics 8(3), 205–258.
Carvalho, R., Ranasinghe, D. & Wilkes, T. (2019), ‘The life and times of ECB quantitative easing, 2015-18’, urlhttps://www.reuters.com/article/useurozone-ecb-qe/the-life-and-times-of-ecb-quantitative-easing-2015-18-idUSKBN1OB1SM.
Chow, K. V. & Denning, K. C. (1993), ‘A simple multiple variance ratio test’, Journal of Econometrics 58(3), 385–401.
Claeys, G. & Leandro, A. (2016), The European Central Bank’s quantitative easing programme: limits and risks, Technical report, Bruegel Policy Contribution.
Cruz, P. H. S. (2017), ‘O Quantitative Easing como resposta do Fed a crise financeira de 2008’.
D’Amico, S. & King, T. (2010), ‘Flow and stock effects of large-scale treasury purchases’, Finance and Economics Discussion Series No. (52).
Engle, R. F. (1982), ‘Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation’, Econometrica: Journal of the Econometric Society pp. 987–1007.
Fama, E. F. (1970), ‘Efficient capital markets: A review of theory and empirical work’, The journal of Finance 25(2), 383–417.
Freire, G. (2017), The effects of the ECB’s unconventional monetary policies on stock markets, PhD thesis.
Fujiki, H., Okina, K. & Shiratsuka, S. (2001), ‘Monetary policy under zero interest rate: viewpoints of central bank economists’, Monetary and Economic Studies 19(1), 89–130.
Gagnon, J., Raskin, M., Remache, J. & Sack, B. (2011), ‘The financial market effects of the Federal Reserve’s large-scale asset purchases’, International Journal of Central Banking 7(1), 3–43.
Grassberger, P. & Procaccia, I. (1983), ‘Characterization of strange attractors’, Physical review letters 50(5), 346.
Hamilton, J. D. &Wu, J. C. (2012), ‘The effectiveness of alternative monetary policy tools in a zero lower bound environment’, Journal of Money, Credit and Banking 44(s1), 3–46.
Hara, K. (2014), ‘Impacto das políticas monetária não convencional dos EUA nas variáveis financeiras do Brasil pós crise de 2008’.
Hausman, J. & Wongswan, J. (2011), ‘Global asset prices and FOMC announcements’, Journal of International Money and Finance 30(3), 547–571.
Homburg, S. (2017), ‘A study in monetary macroeconomics’.
Joyce, M., Tong, M. & Woods, R. (2011), ‘The United Kingdom’s quantitative easing policy: design, operation and impact’, Bank of England Quarterly Bulletin.
Junior, K.M. & Galvão, A. C. (2019), ‘O impacto do fim da política monetária americana não convencional sobre a economia brasileira’, Perspectiva Econômica 14(2), 92–107.
Krishnamurthy, A. & Vissing-Jorgensen, A. (2011), The effects of quantitative easing on interest rates: channels and implications for policy, Technical report, National Bureau of Economic Research.
Lavigne, R., Sarker, S. & Vasishtha, G. (2014), ‘Spillover effects of quantitative easing on emerging-market economies’, Bank of Canada Review 2014(Autumn), 23–33.
Lellis Junior, L. C. (2015), ‘O impacto da quantitative easing americano no preço dos ativos brasileiros’, Dissertação de Mestrado - Fundação Getúlio Vargas, Escola de Pós-Graduação emEconomia. Rio de Janeiro, RJ.
Lim, K.-P., Brooks, R. D. & Hinich, M. (2006), ‘Testing the assertion that emerging asian stockmarkets are becomingmore efficient’, Available at SSRN 906515 .
Lim, K.-P., Hinich, M. J. & Liew, V. K.-S. (2003), ‘Episodic non-linearity and non-stationarity in ASEAN exchange rates returns series’, Labuan Bulletin of International Business and Finance 1(2), 79–93.
Lo, A. W. & MacKinlay, A. C. (1988), ‘Stock market prices do not follow random walks: evidence from a simple specification test’, Review of financial studies 1(1), 41–66.
Meaning, J. & Zhu, F. (2011), ‘The impact of recent central bank asset purchase programmes’, BIS Quarterly Review, December.
Meier, A. (2009), Panacea, curse, or nonevent? Unconventional monetary policy in the United Kingdom, International Monetary Fund.
Meneses, J. C. F. (2016), Será que a política de quantitative easing representa uma oportunidade para o investidor?, PhD thesis.
Neely, C. (2019), ‘The asset holdings of the Bank of Japan’, URL: https://research.stlouisfed.org/publications/economic-synopses/2019/07/15/the-asset-holdings-of-the-bank-of-japan.
Neely, C. J. (2010), The large scale asset purchases had large international effects, Federal Reserve Bank of St. Louis, Research Division.
Neely, C. J., Weller, P. A. & Ulrich, J. M. (2009), ‘The adaptive markets hypothesis: evidence from the foreign exchange market’, Journal of Financial and Quantitative Analysis 44(02), 467–488.
Pattipeilohy, C., Van Den End, J. W., Tabbae, M., Frost, J. & De Haan, J. (2013), ‘Unconventional monetary policy of the ECB during the financial crisis: an assessment and new evidence’.
Pretorius, R. (2018), The Bank of Japan’s intervention in exchange-traded funds as an effective monetary policy tool, PhD thesis, University of Cape Town.
Saadi, S., Gandhi, D. & Elmawazini, K. (2006), ‘On the validity of conventional statistical tests given evidence of non-synchronous trading and nonlinear dynamics in returns generating process’, Applied Economics Letters 13(5), 301–305.
Downloads
Published
Issue
Section
License
Copyright (c) 2020 Economia Aplicada
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
