Monetary policy uncertainties and demand for money for Japan: Nonlinear ARDL approach

Monetary policy uncertainty and stock market returns: influence of limits to arbitrage and the economic cycle

“…One is built using hundreds of daily newspapers covered by Access World News, and the other is based on ten major newspapers, such as USA Today, the Miami Herald, the Chicago Tribune, the Washington Post, the Los Angeles Times, the Boston Globe, the San Francisco Chronicle, the Dallas Morning News, the Houston Chronicle and the Wall Street Journal. This index has been used as a proxy for Jiang and Tong (2016), Binder (2017) and Ongan and Gocer (2019).…”

“…Focusing on MPU, there are several studies that have evaluated the uncertainty regarding monetary policies that will be carried out on several macroeconomic fundamentals. Thus, there are studies that have analysed the impact of MPU on interest rates (Stulz, 1986;Mumtaz and Zanetti, 2013), economic growth (Samani and Asadi, 2018;Husted et al, 2019), types of change (Benigno et al, 2012;Mueller et al, 2017), inflation (Binder, 2017;Samani and Asadi, 2018), demand for money (Ongan and Gocer, 2019), SEF 37,4 commodity prices (Gospodinov and Jamali, 2018;Kurov and Stan, 2018), employment (Samani and Asadi, 2018) and foreign investment (Albulescu and Ionescu, 2017), among others.…”

Dynamic association of stock market volatility, foreign portfolio investment and macroeconomic indicators by taking the impact of structural breaks

“…Following Equation (2) is the regression equation of this study [ 56 , 57 ]: where to this coefficient is the slope of the equation while is the residual…”

“…In this study, the multiple structural breaks are also accounted for [ 7 , 57 ], and the same has been incorporated in the models (from Equations (3) , (4) , (5) , (6) , (7) )) where the dummy variables of the dependent variable capture the effect of the structural breaks consistent with the study of [ 7 ]: where represents the first difference, intercepts, to represents the short-run coefficient, to represent the coefficient of the long-run, and is the residual. is the dependent variables dummy variable(s) according to their multiple breakpoints [ 7 , 57 ].…”

“…Following are the ECM equations (from Equations (9) , (10) , (11) , (12) , (13) )) of this study with dummy variables [ 7 ]: is the Error Term while is the coefficient and represents the speed of adjustment toward the equilibrium in the long run is the dummy variable(s) of the dependent variables according to their multiple breakpoints [ 7 , 57 ].…”