This study utilizes two complementary models,the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz(TVP-VAR-DY)and the Time-Varying Parameter Vector Autoregressive Barunik–Křehlik(TVP-VAR-BK),to investigate...This study utilizes two complementary models,the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz(TVP-VAR-DY)and the Time-Varying Parameter Vector Autoregressive Barunik–Křehlik(TVP-VAR-BK),to investigate the dynamic volatility transmission between exchange rates and stock returns in major commodity-exporting and-importing countries.The analysis focuses on periods of quantitative easing(QE)and quantitative tightening(QT)from March 15,2020 to December 30,2022.The countries examined are Canada and Australia(major commodity exporters)and the UK and Germany(major commodity importers).An essential contribution of this paper is new empirical insights into the dynamics of stock market returns and the transmission of volatility between these markets and exchange rates during the QE and QT periods.The results reveal that causality primarily flows from stock markets to exchange rates,especially during the QT period across all investment horizons.The Toronto Stock Exchange(TSX)emerges as the principal net driver among the markets under study.Furthermore,the Canadian exchange rate(USDCAD)and the Australian Stock Exchange(ASX)are the most significantly affected indices within the network across various investment horizons(excluding the long-term).These findings underscore the importance for investors and policymakers to consider the interplay between exchange rates and stock market returns,particularly in the context of the QE and QT periods,as well as other economic,political,and health-related events.Our findings are relevant to various stakeholders,including governments,traders,portfolio managers,and multinationals.展开更多
This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies...This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.展开更多
This study investigates the dynamic relationships between the money supply (M2) and key commodity prices (Cocoa, Gold, and Crude) in the context of Ghana. Utilizing Vector Error Correction Model (VECM) analysis, we an...This study investigates the dynamic relationships between the money supply (M2) and key commodity prices (Cocoa, Gold, and Crude) in the context of Ghana. Utilizing Vector Error Correction Model (VECM) analysis, we analyze the short-term and long-term Granger causality relationships among these variables, aiming to shed light on the potential linkages between monetary policy and commodity markets. The analysis covers the period from December 1999 to April 2023, using lag structures of 1 and 8 to capture both short-term and more enduring effects. Our findings reveal significant Granger causality relationships between the money supply and various commodities, with nuanced patterns emerging across different lags. In the short-run, our results suggest bidirectional causal relationships between COCOA and M2, CRUDE and M2, and GOLD and M2. Additionally, M2 Granger causes changes in COCOA, CRUDE, and GOLD. However, the causal relationship between COCOA and GOLD appears to be unidirectional, with COCOA not significantly Granger causing changes in GOLD. The short-term findings highlight the intricate interplay between monetary policy and commodity markets. In the long-run (lag 8), our analysis unveils robust Granger causality relationships between the variables. Past values of COCOA, CRUDE, and GOLD Granger cause changes in M2, indicating a notable influence of commodity markets on the money supply. Similarly, M2 Granger causes changes in CRUDE and GOLD. Notably, the findings underscore a more comprehensive and intertwined relationship between monetary policy and commodity prices in the long-run. Based on these results, we derive several policy implications. Policymakers should carefully consider the potential impact of monetary policy decisions, such as quantitative easing, on commodity markets and price dynamics. Measures to stabilize commodity prices, promote export diversification, manage inflation expectations, and enhance economic resilience are recommended. Additionally, effective data monitoring, international collaboration, and proactive risk management strategies are essential components for navigating the complex interactions between monetary policy and commodity markets. This study contributes to a deeper understanding of the intricate connections between monetary policy and commodity prices in Ghana, offering insights for policymakers, researchers, and stakeholders seeking to promote sustainable economic growth and stability. Further research can delve into the mechanisms underlying these relationships and explore their broader implications for trade balances, economic performance, and policy formulation.展开更多
The combination of quantitative evaluation(QE)and non-quantitative evaluation(NQE)is an important evaluation tool in the fields of academic level evaluation(e.g.,EasyChair,Academic paper review form)and internet commo...The combination of quantitative evaluation(QE)and non-quantitative evaluation(NQE)is an important evaluation tool in the fields of academic level evaluation(e.g.,EasyChair,Academic paper review form)and internet commodity evaluation(e.g.,Amazon’s review,Feedback).But the inconsistency between QE and NQE greatly reduces the correctness and usability of the evaluation.Therefore,it is a necessary task to judge whether QE is consistent with NQE.In this paper,the predicate formula satisfiability problem is firstly reduced in polynomial time to the consistency problem of QE and NQE,and the uncertainty of the consistency problem is proved.Then the approximate solution to the problem is investigated by using a natural language processing method,which performs sentiment analysis on NQE and finally invokes a database query statement to determine whether QE is consistent with NQE.The results shed light on the feasibility of using the natural language processing method to solve undecidable problems.展开更多
文摘This study utilizes two complementary models,the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz(TVP-VAR-DY)and the Time-Varying Parameter Vector Autoregressive Barunik–Křehlik(TVP-VAR-BK),to investigate the dynamic volatility transmission between exchange rates and stock returns in major commodity-exporting and-importing countries.The analysis focuses on periods of quantitative easing(QE)and quantitative tightening(QT)from March 15,2020 to December 30,2022.The countries examined are Canada and Australia(major commodity exporters)and the UK and Germany(major commodity importers).An essential contribution of this paper is new empirical insights into the dynamics of stock market returns and the transmission of volatility between these markets and exchange rates during the QE and QT periods.The results reveal that causality primarily flows from stock markets to exchange rates,especially during the QT period across all investment horizons.The Toronto Stock Exchange(TSX)emerges as the principal net driver among the markets under study.Furthermore,the Canadian exchange rate(USDCAD)and the Australian Stock Exchange(ASX)are the most significantly affected indices within the network across various investment horizons(excluding the long-term).These findings underscore the importance for investors and policymakers to consider the interplay between exchange rates and stock market returns,particularly in the context of the QE and QT periods,as well as other economic,political,and health-related events.Our findings are relevant to various stakeholders,including governments,traders,portfolio managers,and multinationals.
基金Funding was provided by Anadolu University Scientific Research Project Commission(Grant number:1605E282).
文摘This study investigates the international spillover effects of US unconventional monetary policy(UMP)-frequently called large-scale asset purchases or quantitative easing(QE)—on advanced and emerging market economies,using structural vector autoregressive models with high-frequency daily data.Blinder(Federal Reserve Bank of St.Louis Rev 92(6):465–479,2010)argued that the QE measures primarily aim to reduce US interest rate spreads,such as term and risk premiums.Considering this argument and recent empirical evidence,we use two spreads as indicators of US UMP:the mortgage and term spreads.Based on data from 20 emerging and 20 advanced countries,our empirical findings reveal that US unconventional monetary policies significantly affect financial conditions in emerging and advanced countries by altering the risktaking behavior of investors.This result suggests that the risk-taking channel plays an important role in transmitting the effects of these policies to the rest of the world.The extent of these effects depends on the type of QE measures.QE measures such as purchases of private sector securities that lower the US mortgage spread exert stronger and more significant spillover effects on international financial markets than those that reduce the US term spread.Furthermore,the estimated financial spillovers vary substantially across countries and between and within the emerging and advanced countries that we examine in this study.
文摘This study investigates the dynamic relationships between the money supply (M2) and key commodity prices (Cocoa, Gold, and Crude) in the context of Ghana. Utilizing Vector Error Correction Model (VECM) analysis, we analyze the short-term and long-term Granger causality relationships among these variables, aiming to shed light on the potential linkages between monetary policy and commodity markets. The analysis covers the period from December 1999 to April 2023, using lag structures of 1 and 8 to capture both short-term and more enduring effects. Our findings reveal significant Granger causality relationships between the money supply and various commodities, with nuanced patterns emerging across different lags. In the short-run, our results suggest bidirectional causal relationships between COCOA and M2, CRUDE and M2, and GOLD and M2. Additionally, M2 Granger causes changes in COCOA, CRUDE, and GOLD. However, the causal relationship between COCOA and GOLD appears to be unidirectional, with COCOA not significantly Granger causing changes in GOLD. The short-term findings highlight the intricate interplay between monetary policy and commodity markets. In the long-run (lag 8), our analysis unveils robust Granger causality relationships between the variables. Past values of COCOA, CRUDE, and GOLD Granger cause changes in M2, indicating a notable influence of commodity markets on the money supply. Similarly, M2 Granger causes changes in CRUDE and GOLD. Notably, the findings underscore a more comprehensive and intertwined relationship between monetary policy and commodity prices in the long-run. Based on these results, we derive several policy implications. Policymakers should carefully consider the potential impact of monetary policy decisions, such as quantitative easing, on commodity markets and price dynamics. Measures to stabilize commodity prices, promote export diversification, manage inflation expectations, and enhance economic resilience are recommended. Additionally, effective data monitoring, international collaboration, and proactive risk management strategies are essential components for navigating the complex interactions between monetary policy and commodity markets. This study contributes to a deeper understanding of the intricate connections between monetary policy and commodity prices in Ghana, offering insights for policymakers, researchers, and stakeholders seeking to promote sustainable economic growth and stability. Further research can delve into the mechanisms underlying these relationships and explore their broader implications for trade balances, economic performance, and policy formulation.
基金Shanghai Foundation for Development of Industrial Internet Innovation,China(No.2019-GYHLW-004)。
文摘The combination of quantitative evaluation(QE)and non-quantitative evaluation(NQE)is an important evaluation tool in the fields of academic level evaluation(e.g.,EasyChair,Academic paper review form)and internet commodity evaluation(e.g.,Amazon’s review,Feedback).But the inconsistency between QE and NQE greatly reduces the correctness and usability of the evaluation.Therefore,it is a necessary task to judge whether QE is consistent with NQE.In this paper,the predicate formula satisfiability problem is firstly reduced in polynomial time to the consistency problem of QE and NQE,and the uncertainty of the consistency problem is proved.Then the approximate solution to the problem is investigated by using a natural language processing method,which performs sentiment analysis on NQE and finally invokes a database query statement to determine whether QE is consistent with NQE.The results shed light on the feasibility of using the natural language processing method to solve undecidable problems.
