New Investment Findings from Macquarie University Described (The Federal Reserve’s Quantitative Easing Policy and Volatility Spillovers: Evidence From Australia): Investment

2024 JUL 30 (NewsRx) -- By a News Reporter-Staff News Editor at Economics Daily Report -- New research on Investment is the subject of a report. According to news reporting out of Macquarie Park, Australia, by NewsRx editors, research stated, “The Federal Reserve’s Quantitative Easing (QE) policies have injected significant liquidity into financial markets. While a vast literature examines the implications of QE, its effect on the financial markets of relatively small open economies is yet to be fully understood.”

Our news journalists obtained a quote from the research from Macquarie University, “This paper uses Australia as a case study to reveal evidence of intensified volatility spillovers resulting from QE. Using ex -ante implied volatility measures, we derive time -varying indices that exhibit the risk transference between financial markets in Australia and the U.S. Our results show intensified spillovers explainable by QE, especially for equity markets during periods of policy normalization. An amplification of spillovers is also found to follow contractionary QE shocks, implying that risk increases as asset purchases decline.”

According to the news editors, the research concluded: “In all, we provide evidence of an international volatility channel of unconventional monetary policy, demonstrating the ramifications of central bank -induced portfolio balancing among investors.”

This research has been peer-reviewed.

For more information on this research see: The Federal Reserve’s Quantitative Easing Policy and Volatility Spillovers: Evidence From Australia. International Review of Economics & Finance, 2024;94. International Review of Economics & Finance can be contacted at: Elsevier, Radarweg 29, 1043 Nx Amsterdam, Netherlands. (Elsevier - www.elsevier.com; International Review of Economics & Finance - http://www.journals.elsevier.com/international-review-of-economics-and-finance/)

Our news journalists report that additional information may be obtained by contacting Hamid Yahyaei, Macquarie University, Macquarie Business Sch, Balaclava Rd, Macquarie Park, Nsw 2109, Australia. Additional authors for this research include Abhay Singh and Lurion De Mello.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.iref.2024.103397. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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