The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns

• Autor(a) principal: Santos, Pedro Manuel Rato dos
• 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
• topic: Fiscal policy; Monetary policy; Spillovers; Stock returns; Structural Vector Autoregressive Model - SVAR; Política fiscal; Política monetária; Mercado de ações

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.