Table 2.
Effects of monetary policy on financial markets: COVID-19 pandemic period.
| [1] |
[2] |
[3] |
[4] |
|
|---|---|---|---|---|
| Dependent variables | GOV | STO | EXC | CDS |
| ri, t | 0.021 | −0.003 | −0.000 | 0.006 |
| (0.609) | (−0.845) | (−0.130) | (0.818) | |
| ui, t | 0.055 | −0.033*** | −0.007*** | 0.011 |
| (0.677) | (−2.790) | (−3.335) | (0.657) | |
| c | −0.043 | −0.001 | 0.000 | 0.008 |
| (−1.123) | (−0.323) | (0.000) | (0.909) | |
| R2 | 0.0210 | 0.0613 | 0.0781 | 0.0512 |
| Obs. | 136 | 136 | 136 | 136 |
| Number of countries | 24 | 24 | 24 | 24 |
Notes: This table reports the benchmark results from the regressions of the model (2), that is, the effects of changes in policy rates (ri, t) and unconventional monetary policy announcements (ui, t) on the changes in 10-year government bond yields (GOV), stock index returns (STO), changes in exchange rates (EXC) and the growth rates of CDS spreads (CDS). The estimation is based on the sample of COVID-19 pandemic period, i.e., January 22, 2020 - April 30, 2020. The coefficient estimates are obtained by the OLS method. t-statistics are reported in parentheses and ***/ **/* denote the significance at 99%, 95% and 90% confidence levels, respectively.