Transmission de la volatilité et Central-Banking

Kamel Bensafta () and Gervasio Semedo ()
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Gervasio Semedo: LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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Abstract: We examine market volatility spillover during calm and crisis periods. First, we define endogenous and exogenous market volatility: endogenous volatility refers to the early part of uncertainty in the market, while, exogenous volatility is not fully anticipated and occurs as a result of decisions taken by actors and institutions. Endogenous volatility is captured by the mean of GARCH type process. We compare market reaction to central banking for two states: outside the subprime crisis and during the subprime crisis. We evaluate the effectiveness of central banking during the crisis. We used a Multivariate GARCH model with structural breaks in variance. Our main findings confirm the American market's impact on European markets, and changes in cross-market spillover during crisis. Results show effect of communications, meeting days and policy decisions of the Fed on world markets.

Keywords: Strucural breaks; Central Banks communication; subprime crisis; volatility; MGARCH; Ruptures Structurelles; Central-Banking; Crise des subprimes; Transmission de volatilité (search for similar items in EconPapers)
Date: 2014-06-25
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01012058
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