The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/14154 |
Resumo: | In responding to subprime crisis with its peak with the bankruptcy of investment bank Lehman brothers in September of 2008, marking the end of the “great moderation”, several governments and central banks of developed and emerging economies change the respective fiscal and monetary policies, in order to stimulate the economy, some more than others, creating spillovers and transmit them by different channels through the stocks market worldwide. Furthermore, due to recent debate of the implementation of similar monetary stimulus program in China, like to the ones implemented in US and in currently in development in Euro Area, is relevant access the f policies consequences in China. The present work particularly focusses on the consequences of monetary and fiscal policies implemented in the United States, United Kingdom, Euro Area, Japan in China. The results show that the spillovers of the international fiscal and monetary policy are overall nonexistent or weak at best. However, there are significant spillovers of United States and Japan with China, the monetary policy of US has positive impact and the fiscal has negative impact on Shanghai stock returns, the same is true of the Japanese monetary policy. |
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The impact of international fiscal and monetary spillovers on Shanghai stock exchange returnsFiscal policyMonetary policySpilloversStock returnsStructural Vector Autoregressive Model - SVARPolítica fiscalPolítica monetáriaMercado de açõesIn responding to subprime crisis with its peak with the bankruptcy of investment bank Lehman brothers in September of 2008, marking the end of the “great moderation”, several governments and central banks of developed and emerging economies change the respective fiscal and monetary policies, in order to stimulate the economy, some more than others, creating spillovers and transmit them by different channels through the stocks market worldwide. Furthermore, due to recent debate of the implementation of similar monetary stimulus program in China, like to the ones implemented in US and in currently in development in Euro Area, is relevant access the f policies consequences in China. The present work particularly focusses on the consequences of monetary and fiscal policies implemented in the United States, United Kingdom, Euro Area, Japan in China. The results show that the spillovers of the international fiscal and monetary policy are overall nonexistent or weak at best. However, there are significant spillovers of United States and Japan with China, the monetary policy of US has positive impact and the fiscal has negative impact on Shanghai stock returns, the same is true of the Japanese monetary policy.Na resposta a crise do subprime com o seu auge com a falência do banco Lehman Brothers em setembro de 2008, marcando o fim da “grande moderação”, vários governos e bancos centrais de países desenvolvidos e em desenvolvimento mudaram as suas respetivas fiscais e monetárias, em ordem a estimular a economia, alguns com maior ímpeto que outas, criando spillovers e transmitindo os mesmos por diferentes canais para os mercados acionistas a nível mundial. Para alem do mais, devido ao recente debate de implementação de um programa de estímulos monetários semelhante na China aos que foram implementados nos EUA e atualmente em desenvolvimento na Área do Euro, é pertinente avaliar se os impactos das consequências destas politicas nos países desenvolvidos nos países emergente e viceversa. O presente trabalho foca-se nas consequências das politicas fiscais implementas nos Estados Unidos, Reino Unido, Área do Euro, Japão e China. Os resultados mostram que os spillovers das politicas monetária e fiscais seguidas por estes países são nulos ou muito residuais. Contudo, existe spillovers significativos dos Estados Unidos e do Japão com a China, a politica monetária dos Estados Unidos tem um impacto positivo e a politica fiscal tem um impacto negativo nos retornos do mercado acionista de Shanghai, o mesmo é verdade para a politica monetária japonesa.2017-07-26T15:23:43Z2017-04-27T00:00:00Z2017-04-272017-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/14154TID:201696975engSantos, Pedro Manuel Rato dosinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:32:53Zoai:repositorio.iscte-iul.pt:10071/14154Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:14:47.145287Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
title |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
spellingShingle |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns Santos, Pedro Manuel Rato dos Fiscal policy Monetary policy Spillovers Stock returns Structural Vector Autoregressive Model - SVAR Política fiscal Política monetária Mercado de ações |
title_short |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
title_full |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
title_fullStr |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
title_full_unstemmed |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
title_sort |
The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns |
author |
Santos, Pedro Manuel Rato dos |
author_facet |
Santos, Pedro Manuel Rato dos |
author_role |
author |
dc.contributor.author.fl_str_mv |
Santos, Pedro Manuel Rato dos |
dc.subject.por.fl_str_mv |
Fiscal policy Monetary policy Spillovers Stock returns Structural Vector Autoregressive Model - SVAR Política fiscal Política monetária Mercado de ações |
topic |
Fiscal policy Monetary policy Spillovers Stock returns Structural Vector Autoregressive Model - SVAR Política fiscal Política monetária Mercado de ações |
description |
In responding to subprime crisis with its peak with the bankruptcy of investment bank Lehman brothers in September of 2008, marking the end of the “great moderation”, several governments and central banks of developed and emerging economies change the respective fiscal and monetary policies, in order to stimulate the economy, some more than others, creating spillovers and transmit them by different channels through the stocks market worldwide. Furthermore, due to recent debate of the implementation of similar monetary stimulus program in China, like to the ones implemented in US and in currently in development in Euro Area, is relevant access the f policies consequences in China. The present work particularly focusses on the consequences of monetary and fiscal policies implemented in the United States, United Kingdom, Euro Area, Japan in China. The results show that the spillovers of the international fiscal and monetary policy are overall nonexistent or weak at best. However, there are significant spillovers of United States and Japan with China, the monetary policy of US has positive impact and the fiscal has negative impact on Shanghai stock returns, the same is true of the Japanese monetary policy. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-07-26T15:23:43Z 2017-04-27T00:00:00Z 2017-04-27 2017-01 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/14154 TID:201696975 |
url |
http://hdl.handle.net/10071/14154 |
identifier_str_mv |
TID:201696975 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/octet-stream |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799134705311809536 |