| Autor: |
Chibane, Messaoud, Gabriel, Amadeus, Giménez Roche, Gabriel A. |
| Předmět: |
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| Zdroj: |
European Journal of Finance; Dec2024, Vol. 30 Issue 18, p2137-2156, 20p |
| Abstrakt: |
This paper explores the impact of monetary policy on the integration of the equity markets of the five largest economies of the Eurozone. We show that a rise in leverage and accommodating monetary policies significantly affects the probability of simultaneous stock market crashes. Moreover, we find that an increasing loan-to-base ratio divergence has a destabilizing effect on equity markets. Our findings are instrumental for international investors, who might operate under the assumption that Eurozone stock markets exhibit stable correlations during non-crisis periods, bolstered by the prevailing monetary regime. We suggest implementing a probability threshold as a macroprudential tool to manage latent correlations and ensure effective risk management. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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