VOLATILITY SPILLOVER EFFECT OF FEDERAL RESERVE’S BALANCE SHEET ON THE FINANCIAL AND GOODS MARKETS OF INDO-PAK REGION

Qasim Raza Syed, Waseem Shahid Malik () and Bisharat Chang
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Qasim Raza Syed: Department of Management Sciences, Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Larkana Campus, Sachal Colony, Larkana, Sindh, Pakistan
Waseem Shahid Malik: #x2020;Department of Economics, University of Peshawar, Peshawar, Khyber Pakhtunkhwa, Pakistan

Annals of Financial Economics (AFE), 2019, vol. 14, issue 03, 1-18

Abstract: This paper examines the volatility spillover effect of the balance sheet of Federal Reserve (Fed) on the financial and goods markets of Pakistan, India and Bangladesh (collectively known as the Indo-Pak region). Diagonal BEKK-GARCH methodology is used to capture the volatility spillover effects on Indo-Pak economies. This study took data from the year 2004 to year 2019 on a monthly basis. The findings of the paper describe that there are volatility spillovers from Fed’s balance sheet to the financial markets of Pakistan, India and Bangladesh economies. On the other hand, there is also evidence of volatility spillovers from the balance sheet of Fed to the goods markets of these economies.

Keywords: Volatility spillover; balance sheet assets; diagonal BEKK-GARCH; unconventional monetary policy (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2010495219500155

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