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Estudios de economía

versión On-line ISSN 0718-5286

Estudios de Economía vol.46 no.1 Santiago jun. 2019 


Examining spillover effect of US monetary policy to European stock markets: A Markov-Switching approach

Examinando efectos de rebalse de la política monetaria de Estados Unidos sobre los mercados accionarios europeos: un efecto de cambios de Markov

Muhammad Zubair Mumtaz1 

Zachary Alexander Smith2 

1National University of Sciences and Technology, School of Social Sciences & Humanities, Pakistan

2Saint Leo University, Tapia College of Business, United States of America


This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We find mixed results when applying the multivariate Markov-switching models. The results report a positive relationship between the US interest rate and developed stock markets except for the Finish, Swiss, Swedish and UK stock markets whereas our findings confirm a positive relationship with the developing stock markets except for the Slovenian and Ukraine stock markets. Importantly, the nature of this effect varies during the economic crisis period. This study also compares the spillover effect between Asian and European stock markets and concludes that the effect of US monetary policy varies from market to market, however, changes in US monetary policy have greater effects on developed markets.

Keywords: Spillover effect; monetary policy; Markov-switching models; European stock markets; JEL Classification: C22, E44, E52, G15


Este trabajo evalúa el efecto rebalse de la política monetaria de Estados Unidos en diecinueve economías europeas, utilizando modelos de cambios markovianos. Modelos univariados validan la presencia de dos regímenes, tanto para la política monetaria de Estados Unidos como de los mercados accionarios. Encontramos una relación positiva entre la tasa de Estados Unidos y los mercados accionarios de economías desarrolladas (con la excepción de Finlandia, Suiza, Suecia y Reino Unido) y mercados accionarios de países en desarrollo (excepto por Eslovenia y Ucrania). A su vez, la naturaleza de este efecto varía en períodos de crisis. El trabajo también compara el efecto rebalse entre economías asiáticas y europeas, demostrando que los efectos son distintos entre mercados. Sin embargo, la influencia de la tasa de interés de Estados Unidos es mayor en mercados desarrollados.

Palabras clave: Efecto rebalse; política monetaria; modelos de cambio de régimen markoviano; mercados accionarios europeos; Clasificación JEL: C22, E44, E52, G15

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Received: February 0, 2018; Accepted: August 0, 2018

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