Macroeconomic Factors and Monetary Policy Analysis: A Financial Market Perspective

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".

Deadline for manuscript submissions: closed (31 December 2022) | Viewed by 16553

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Department of Finance, Deakin University, 221 Burwood Hwy, Burwood, VIC 3125, Australia
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Special Issue Information

Dear Colleagues,

This special issue focuses on macroeconomic factors in general, including the Ukraine war, pandemic, inflation, monetary policy, fiscal spending, and supply chain concerns, as well as their impact on financial market outcomes such as systematic risk, idiosyncratic volatility, and stock liquidity. It will provide insights into the short-term impacts of these bigger macroeconomic challenges on the stock market, as well as policy ideas for how central banks around the world might mitigate these effects. The application of state of the art econometric, mathematical, statistical and machine-learning approaches to these broad issue areas is encouraged, as is the utilisation of both theoretical and empirical methods. In light of the COVID-19 epidemic, supply chain issues, and Ukraine war policy-relevant research will be especially favoured. 

Dr. Sagarika Mishra
Guest Editor

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Keywords

  • Ukraine war
  • inflation
  • interest rate
  • supply chain
  • pandemic
  • fiscal stimulus
  • idiosyncratic volatility
  • stock liquidity
  • systematic risk
  • climate change

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Published Papers (1 paper)

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Research

18 pages, 2877 KiB  
Article
Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries
by Bhaskar Bagchi and Biswajit Paul
J. Risk Financial Manag. 2023, 16(2), 64; https://doi.org/10.3390/jrfm16020064 - 23 Jan 2023
Cited by 25 | Viewed by 15909
Abstract
The present study examines the effects of the steep surge in crude oil prices which has also been considered as an oil price shock on the stock price returns and currency exchange rates of G7 countries, namely Canada, France, Germany, Italy, Japan, the [...] Read more.
The present study examines the effects of the steep surge in crude oil prices which has also been considered as an oil price shock on the stock price returns and currency exchange rates of G7 countries, namely Canada, France, Germany, Italy, Japan, the United Kingdom (UK) and the United States (US), in the context of the Russia–Ukraine conflict. Due to the outbreak of the war, the steep surge in Brent crude oil price returns is seen as an exogenous shock to stock price returns and exchange rates during the period from 2 January 2017 to 29 June 2022. The paper applies the Fractionally Integrated GARCH (FIGARCH) model to capture the effect of the crude oil price shock and the Breakpoint unit root test to examine the structural breaks in the dataset. Structural breakpoints in the dataset for the entire stock price returns and exchange rates are observed during the period commencing from the last week of February, 2022, to the last week of March, 2022. Except for TSX, NASDAQ and USD, noteworthy long memory effects running from Brent crude oil price to all the stock price returns along with the currency exchange rates for all G7 countries were also found. Full article
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