Effects of economic policy uncertainty on stock and bond market integration

Tässä pro gradu – tutkielmassa tarkastellaan sitä , miten talouspoliitti nen epävarmuu s vaikut taa osake - ja korko markkina tuottojen väliseen yhteyteen . Tutkimuksessa saadut e mpiiriset havainnot viittaavat siihen, että kun reaalit alouden kasvu ylittää...

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Päätekijä: Savolainen, Akseli
Muut tekijät: Kauppakorkeakoulu, School of Business and Economics, Taloustieteet, Business and Economics, University of Jyväskylä, Jyväskylän yliopisto
Aineistotyyppi: Pro gradu
Kieli:eng
Julkaistu: 2015
Aiheet:
Linkit: https://jyx.jyu.fi/handle/123456789/45699
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author Savolainen, Akseli
author2 Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics University of Jyväskylä Jyväskylän yliopisto
author_facet Savolainen, Akseli Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics University of Jyväskylä Jyväskylän yliopisto Savolainen, Akseli Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics University of Jyväskylä Jyväskylän yliopisto
author_sort Savolainen, Akseli
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description Tässä pro gradu – tutkielmassa tarkastellaan sitä , miten talouspoliitti nen epävarmuu s vaikut taa osake - ja korko markkina tuottojen väliseen yhteyteen . Tutkimuksessa saadut e mpiiriset havainnot viittaavat siihen, että kun reaalit alouden kasvu ylittää inflaati o- vauhdin , talouspoliittisen epävarmuuden kasvu on tekijä, joka vähentää osake - ja ko r- ko markkina tuottojen korrelaatiota . Sen sijaan kun inflaatio vauht i ylittää reaalitalouden kasvun, jota tässä tutkielmassa on mitattu S&P 500 i ndeksin osinkojen jaolla, kasvava talouspoliittinen epävarmuus vahvistaa osake - ja korkomarkkinatuottojen korrelaatiota . Tutkimus on toteutettu Yhdysvaltojen rahoitusmarkk inoiden aineistolle , mutta sen t u- lokset voitaneen yleistää koskemaan myös muiden kehittyneiden avotalouksien markk i- noita. Tutkimus antaa myös viitteitä epäillä, että osake - ja korkomarkkinatuottojen yht e- ys on ollut herkempi talouspoliittisen epävarmuuden ja reaali talouden kasvu a kuvaavan parametrin muutoksille vuonna 2007 alkaneen finanssikriisin jäl keen. Täm än tutkimu k- sen aikana esiin nousse e n , tutkimusky symyksen kannalta toissijaisen havainnon vahvi s- taminen vaatisi kuitenkin lisät utkimuksia . In this master’s thesis, I have investigated how economic policy uncertainty is related to the co - movement between stock - and bond market returns. The empirical results from the U.S markets imply that when the growth of economy is positive, that is, the dividend growth rate exceeds inflation rate , rising economic policy uncertaint y will decrease the level of s tock and bond market integration. Instead, when the growth of economy is negative, rising ec o- nomic policy uncertainty will increase the level of the stock and bond market integration. The results of this study may be generalized to other developed open eco nomies as well. The results also indicate that the integration between the stock and bond markets in the U.S has been more sensitive to changes in economic policy uncertainty and the real growth p a- rameter after the global financial crisis that erupted in 2 007 than before the crisis. However, drawing robust conclusions about this secondary observation would require more empirical analysis on this set of data.
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Sen sijaan kun inflaatio\r\nvauht\r\ni\r\nylitt\u00e4\u00e4 reaalitalouden \r\nkasvun, jota t\u00e4ss\u00e4 tutkielmassa on mitattu S&P\r\n500\r\ni\r\nndeksin osinkojen jaolla, kasvava \r\ntalouspoliittinen ep\u00e4varmuus vahvistaa osake\r\n-\r\nja korkomarkkinatuottojen \r\nkorrelaatiota\r\n. \r\nTutkimus on toteutettu Yhdysvaltojen rahoitusmarkk\r\ninoiden \r\naineistolle\r\n, mutta sen t\r\nu-\r\nlokset voitaneen \r\nyleist\u00e4\u00e4 \r\nkoskemaan my\u00f6s muiden kehittyneiden avotalouksien markk\r\ni-\r\nnoita. Tutkimus antaa my\u00f6s viitteit\u00e4 ep\u00e4ill\u00e4, ett\u00e4 osake\r\n-\r\nja korkomarkkinatuottojen \r\nyht\r\ne-\r\nys\r\non ollut herkempi talouspoliittisen ep\u00e4varmuuden ja reaali\r\ntalouden kasvu\r\na kuvaavan \r\nparametrin muutoksille\r\nvuonna 2007 alkaneen finanssikriisin j\u00e4l\r\nkeen. T\u00e4m\r\n\u00e4n\r\ntutkimu\r\nk-\r\nsen aikana esiin \r\nnousse\r\ne\r\nn\r\n, tutkimusky\r\nsymyksen kannalta toissijaisen havainnon\r\nvahvi\r\ns-\r\ntaminen vaatisi\r\nkuitenkin lis\u00e4t\r\nutkimuksia\r\n.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "In this master\u2019s thesis, I have investigated how economic policy uncertainty is related to the \r\nco\r\n-\r\nmovement\r\nbetween stock\r\n-\r\nand bond market returns.\r\nThe empirical results \r\nfrom the U.S \r\nmarkets imply\r\nthat when the \r\ngrowth of economy is positive, that is, \r\nthe \r\ndividend growth\r\nrate\r\nexceeds inflation\r\nrate\r\n, rising economic policy uncertaint\r\ny will decrease the level of\r\ns\r\ntock \r\nand bond market integration. 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spellingShingle Savolainen, Akseli Effects of economic policy uncertainty on stock and bond market integration economic policy uncertainty stock market returns bond market returns market integration Kansantaloustiede Economics 2041 poliittinen epävakaisuus talouspolitiikka osakkeet tuotto korko rahoitusmarkkinat
title Effects of economic policy uncertainty on stock and bond market integration
title_full Effects of economic policy uncertainty on stock and bond market integration
title_fullStr Effects of economic policy uncertainty on stock and bond market integration Effects of economic policy uncertainty on stock and bond market integration
title_full_unstemmed Effects of economic policy uncertainty on stock and bond market integration Effects of economic policy uncertainty on stock and bond market integration
title_short Effects of economic policy uncertainty on stock and bond market integration
title_sort effects of economic policy uncertainty on stock and bond market integration
title_txtP Effects of economic policy uncertainty on stock and bond market integration
topic economic policy uncertainty stock market returns bond market returns market integration Kansantaloustiede Economics 2041 poliittinen epävakaisuus talouspolitiikka osakkeet tuotto korko rahoitusmarkkinat
topic_facet 2041 Economics Kansantaloustiede bond market returns market integration economic policy uncertainty korko osakkeet poliittinen epävakaisuus rahoitusmarkkinat stock market returns talouspolitiikka tuotto
url https://jyx.jyu.fi/handle/123456789/45699 http://www.urn.fi/URN:NBN:fi:jyu-201504221653
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