A Structural Time Series Analysis of the Effect of Quantitative Easing on Stock Prices

A Structural Time Series Analysis of the Effect of Quantitative Easing on Stock Prices

In this paper, a structural time series model is estimated to analyse the effect of quantitative easing (QE) on stock prices for the US, UK and Japan. The model is estimated by maximum likelihood in a time-varying parametric framework, using the DJIA, S&P500, NASDAQ, FTSE100 and the NIKKEI225 as...

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Bibliographic Details
Main Authors: George B. Tawadros, Imad A. Moosa
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:International Journal of Financial Studies
Subjects:
central banks
quantitative easing
structural time series modelling
stock prices
Online Access:https://www.mdpi.com/2227-7072/10/4/114

Internet

https://www.mdpi.com/2227-7072/10/4/114

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