Dua Pami, Tuteja Divya
Department of Economics, Delhi School of Economics, University of Delhi, New Delhi, India.
Economics Division, Indian Institute of Foreign Trade, New Delhi, India.
J Quant Econ. 2021;19(Suppl 1):309-336. doi: 10.1007/s40953-021-00273-9. Epub 2021 Dec 10.
This paper examines regime switching behaviour and dynamic linkages among currency and equity markets of Eurozone, India, Japan and U.S. using a Markov-switching framework. First, we seek to characterize the market specific and common regime shifts in international stock and currency markets. Second, we aim to study regime-dependent conditional correlations across these markets. We estimate state-dependent models for the financial markets in a univariate Markov-switching Autoregression (MS-AR) as well as a multivariate Markov-switching Vector Autoregression (MS-VAR) framework. The paper utilizes weekly data from July, 1999 to October, 2020 to model the interactions among the markets. Our univariate results identify two-states viz bull state (bear state) characterized by high returns (low returns) and low volatility (high volatility) for the stock market indices and Euro/USD and INR/USD returns. For the Yen/USD market the bull state corresponds to depreciation accompanied by low volatility. Further, we employ a multivariate formulation to study the regimes across asset classes which provides additional insights into the common states across the markets. Using the MS-VAR model encompassing stocks and currencies, we find a tranquil regime characterized by lower volatility and higher returns and a turbulent regime depicted by higher volatility and lower returns. Contemporaneous correlations among asset market pairs are sharper during the crises. Some of the turbulent periods highlighted in the analysis include the dot-com bubble burst, South American crisis, 9/11, Iraq war, housing bubble burst, global financial crisis, Eurozone debt crisis, Taper Tantrum, Brexit, U.S. Federal Government Shutdown, U.S.-China Trade War and the recent COVID-19 pandemic.
本文使用马尔可夫转换框架研究欧元区、印度、日本和美国货币与股票市场之间的政权转换行为和动态联系。首先，我们试图刻画国际股票和货币市场中特定市场和共同的政权转变。其次，我们旨在研究这些市场之间依赖政权的条件相关性。我们在单变量马尔可夫转换自回归（MS-AR）以及多变量马尔可夫转换向量自回归（MS-VAR）框架下估计金融市场的状态依赖模型。本文利用1999年7月至2020年10月的周数据对市场间的相互作用进行建模。我们的单变量结果识别出两种状态，即牛市状态（熊市状态），其特征是股票市场指数、欧元/美元和印度卢比/美元回报率较高（较低）且波动率较低（较高）。对于日元/美元市场，牛市状态对应着贬值且波动率较低。此外，我们采用多变量公式来研究不同资产类别的政权，这为跨市场的共同状态提供了更多见解。使用包含股票和货币的MS-VAR模型，我们发现了一个以较低波动率和较高回报率为特征的平静政权以及一个以较高波动率和较低回报率为特征的动荡政权。资产市场对之间的同期相关性在危机期间更为明显。分析中突出的一些动荡时期包括互联网泡沫破裂、南美危机、9·11事件、伊拉克战争、房地产泡沫破裂、全球金融危机、欧元区债务危机、缩减恐慌、英国脱欧、美国联邦政府停摆、美中贸易战以及最近的新冠疫情。
