US monetary policy and BRICS stock market bubbles
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Nel, Jacobus | |
| dc.contributor.author | Nielsen, Joshua | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2023-09-20T10:23:51Z | |
| dc.date.issued | 2023-01 | |
| dc.description.abstract | We use the multi-scale Log-Periodic Power Law Singularity (LPPLS) confidence indicator approach to detect both positive and negative bubbles at short-, medium- and long-run for the stock markets of the BRICS countries. Then, we utilize impulse responses obtained from the local projection method (LPM) framework to capture the effect of US monetary policy shocks on the BRICS bloc equity market. The effect of these shocks on the bubble indicators for each country is limited, with a strong positive impact observed under the medium-term negative bubble indicator of Brazil, China and South Africa. Given the findings, associated policy implications are discussed. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.embargo | 2024-11-15 | |
| dc.description.librarian | hj2023 | en_US |
| dc.description.uri | http://www.elsevier.com/locate/frl | en_US |
| dc.identifier.citation | Gupta, R., Nel, J. & Nielsen, J. 2023, 'US monetary policy and BRICS stock market bubbles', Finance Research Letters, vol. 51, art. 103435, pp. 1-18, doi : 10.1016/j.frl.2022.103435. | en_US |
| dc.identifier.issn | 1544-6123 (print) | |
| dc.identifier.issn | 1544-6131 (online) | |
| dc.identifier.other | 10.1016/j.frl.2022.103435 | |
| dc.identifier.uri | http://hdl.handle.net/2263/92338 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2022 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 51, art. 103435, pp. 1-18, doi : 10.1016/j.frl.2022.103435. | en_US |
| dc.subject | Log-periodic power law singularity (LPPLS) | en_US |
| dc.subject | Brazil, Russia, India, China and South Africa (BRICS) | en_US |
| dc.subject | Local projection method (LPM) | en_US |
| dc.subject | Multi-scale bubbles | en_US |
| dc.subject | United States (US) | en_US |
| dc.subject | US monetary policy | en_US |
| dc.subject | BRICS countries | en_US |
| dc.subject | SDG-08: Decent work and economic growth | en_US |
| dc.title | US monetary policy and BRICS stock market bubbles | en_US |
| dc.type | Postprint Article | en_US |