US monetary policy and BRICS stock market bubbles

Rangan Gupta, Jacobus Nel and Joshua Nielsen

Finance Research Letters, 2023, vol. 51, issue C

Abstract: We use the multi-scale Log-Periodic Power Law Singularity (LPPLS) confidence indicator approach to detect both positive and negative bubbles at short-, medium- and long-run for the stock markets of the BRICS countries. Then, we utilize impulse responses obtained from the local projection method (LPM) framework to capture the effect of US monetary policy shocks on the BRICS bloc equity market. The effect of these shocks on the bubble indicators for each country is limited, with a strong positive impact observed under the medium-term negative bubble indicator of Brazil, China and South Africa. Given the findings, associated policy implications are discussed.

Keywords: Multi-scale bubbles; Local projection method; US monetary policy; BRICS countries (search for similar items in EconPapers)
JEL-codes: C22 E52 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (11)

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Working Paper: US Monetary Policy and BRICS Stock Market Bubbles (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006122

DOI: 10.1016/j.frl.2022.103435

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