Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects

Autor:	Abobaker Al.Al. Hadood, Korhan K. Gokmenoglu
Rok vydání:	2020
Předmět:	050208 finance Bond 05 social sciences Monetary policy Monetary economics Quantile regression Signalling 0502 economics and business Economics Bond market Portfolio 050207 economics Finance Stock (geology)
Zdroj:	Finance Research Letters. 33:101185
ISSN:	1544-6123
DOI:	10.1016/j.frl.2019.05.003
Popis:	This paper investigates the impacts of both the portfolio rebalancing and signalling channel effects associated with US unconventional monetary policy on the dynamic correlation between the stock and bond markets at different levels of stock-bond market correlation distributions. The empirical results reveal that the portfolio rebalancing channel has a strong and predominantly negative effect on the dynamic stock-bond market correlations. In contrast, the signalling channel positively affects the dynamic stock-bond market correlations. The results also provide evidence of an asymmetric effect at the lower quantiles. These findings hence provide valuable information for policymakers, traders and portfolio managers.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d4f70f87cb6640dfeddbf0abffae14de https://doi.org/10.1016/j.frl.2019.05.003 Zobrazit plný text záznamu Full Text from ScienceDirect