Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic
Vik Singh (),
Eduardo Roca () and
Journal of Policy Modeling, 2021, vol. 43, issue 2, 253-277
We test the hypothesis that policy interventions in crisis periods are less effective when markets are integrated, drawing on China and Russia’s experience during the global financial crisis. We conduct an event study to examine the response of stock market returns and volatility to intervention efforts using DCC-GARCH and Markov Regime Switching Models. We then estimate the extent of integration of China and Russia with the US market and assess its impact on policy interventions’ effectiveness based on a regression framework. We find that interventions were effective in China but failed in Russia, where greater global links were evident. Our findings provide important policy lessons to address the impact of the current COVID-19 pandemic, given the increasing global market linkages.
Keywords: Event study; Market crisis; Policy intervention; Policy coordination; Markov regime switching; Dynamic conditional correlations; China; Russia (search for similar items in EconPapers)
JEL-codes: F36 G14 G15 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jpolmo:v:43:y:2021:i:2:p:253-277
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