Browsing by Author "Siničáková, Marianna"
Now showing 1 - 2 of 2
Results Per Page
Sort Options
- ItemQuantitative easing effects on equity markets – event study evidence from the US(Technická Univerzita v Liberci, ) Šafár, Leoš; Siničáková, Marianna; Ekonomická fakultaIn this paper we examine effects of the QE related statements made by the FED on major equity indices in the US. We consider days, when announcements had been made, as events for the event-study. We approach this methodology with aim to calculate excess returns on particular announcement day for Dow Jones Industrial Average, Standard´s & Poor´s 500, NASDAQ and Russell2000. Admitting complexity of those statements, and difficulty to isolate effects linked only to QE related information, we analysed statements individually, to be able to extrapolate deviations more accurately. Results indicate positive excess returns (above average performance over previous 60 days) on each index from 2008 to 2017 in average, while on some specific announcements, excess returns fell to negative range, which could be explained as misunderstanding of reaction function or active portfolio rebalancing towards assets directly influenced by the programme mentioned in the particular announcement. Considering also multiplicity, for DJIA, NASDAQ and S&P500 we conclude, that positive reactions follow especially information linked to prolongation or expansion of existing QE programme, while on the other hand initial information about QE cause mentioned portfolio rebalancing from equities towards other assets (RUSSEL2000 did not signal particular direction in line with announcement days´ information). We can also conclude that even if tapering linked information are considered as a part of the QE programmes, we did not find significant evidence of neither positive nor negative reaction on particular tapering-linked announcements. We add on, that the tapering and balance sheet unwinding are unprecedented to some extent, and therefore require further research, especially in current environment where such policy normalization is widely discussed.
- ItemTwin deficits threat in the European Union(Technická Univerzita v Liberci, 2017-03-15) Siničáková, Marianna; Sulikova, Veronika; Gavurová, Beáta; Ekonomická fakultaThe aim of the contribution was to identify presence and contagion threat of twin deficits, i.e. simultaneous budget and current account deficit in the EU countries. Using correlations and Granger causality testing we recorded existence of twin deficits in most of EU countries. In several countries we confirmed traditional causality that budget deficit implies current account deficit. In several other countries the opposite, known as current account targeting, was true. In two counties (Spain and Hungary) bi-causality was detected. We consider existence of bi-causality as the most complicated situation in practice. Then it is a real vicious cycle. Policy makers must target both imbalances at the same time, to solve this problem, which can be very difficult. Persistent macroeconomic problems in these two countries confirm our assumption.Our paper extends existing literature by determination of two thresholds for public debt-to-GDP which modify occurrence and risk of twin deficits in the EU countries. These break points were identified via threshold panel data model. Twin deficits problems are not probable for countries with public debt-to-GDP lower than 30.668%. However, risk of this phenomenon is much higher if public debt is from 30.688% to 98.126%. Countries with public debt over 98.126% suffer from high and persistent twin imbalances. Therefore we suggest reconsideration of Maastricht criterion on public debt and its reduction to 30%. Finally we observe contagion effect of twin deficits throughout EU countries regardless their economic performance or the euro area membership which is indirectly triggered also in the case of non-euro area members.