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...
| Những tác giả chính: | , |
|---|---|
| Định dạng: | Bài viết |
| Ngôn ngữ: | English |
| Được phát hành: |
MDPI AG
2022-12-01
|
| Loạt: | International Journal of Financial Studies |
| Những chủ đề: | |
| Truy cập trực tuyến: | https://www.mdpi.com/2227-7072/10/4/114 |