论文标题
非常规政策对股票市场波动的影响：地图方法
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
论文作者
论文摘要
以欧洲中央银行的非传统政策为参考，我们建议一类乘出多的误差模型（MEM）来分析这些政策对股票市场波动的影响。新的模型，称为MEM具有不对称和政策效果（MAP），使基本波动率动态与复制策略效应的组件分开，并增加了公告日的波动性和减少展开的实现效果。当应用于四个欧元区市场时，模型置信套装方法在扩大资产购买计划实施后，可以显着改善代理的预测能力；多步骤的预测练习估计了效果的持续时间，并且通过震惊策略变量，我们能够量化波动性的降低，而波动性的降低则更为债务，这是债务的障碍国家。
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have on stock market volatility. The new set of models, called MEM with Asymmetry and Policy effects (MAP), keeps the base volatility dynamics separate from a component reproducing policy effects, with an increase in volatility on announcement days and a decrease unfolding implementation effects. When applied to four Eurozone markets, a Model Confidence Set approach finds a significant improvement of the forecasting power of the proxy after the Expanded Asset Purchase Programme implementation; a multi--step ahead forecasting exercise estimates the duration of the effect, and, by shocking the policy variable, we are able to quantify the reduction in volatility which is more marked for debt--troubled countries.
