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  • Effectiveness of Policy Interventions during Financial Crises in China and Russia: Lessons for the COVID-19 Pandemic

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    Embargoed until: 2023-03-09
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    Accepted Manuscript (AM)
    Author(s)
    Singh, Vikkram
    Roca, Eduardo
    Li, Bin
    Griffith University Author(s)
    Li, Bin
    Roca, Eduardo D.
    Singh, Vikkram
    Year published
    2021
    Metadata
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    Abstract
    We test the hypothesis that policy interventions in crisis periods are less effective when markets are integrated, drawing on China and Russia's experience during the global financial crisis. We conduct an event study to examine the response of stock market returns and volatility to intervention efforts using DCC-GARCH and Markov Regime Switching Models. We then estimate the extent of integration of China and Russia with the US market and assess its impact on policy interventions' effectiveness based on a regression framework. We find that interventions were effective in China but failed in Russia, where greater global links ...
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    We test the hypothesis that policy interventions in crisis periods are less effective when markets are integrated, drawing on China and Russia's experience during the global financial crisis. We conduct an event study to examine the response of stock market returns and volatility to intervention efforts using DCC-GARCH and Markov Regime Switching Models. We then estimate the extent of integration of China and Russia with the US market and assess its impact on policy interventions' effectiveness based on a regression framework. We find that interventions were effective in China but failed in Russia, where greater global links were evident. Our findings provide important policy lessons to address the impact of the current COVID-19 pandemic, given the increasing global market linkages.
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    Journal Title
    Journal of Policy Modeling
    DOI
    https://doi.org/10.1016/j.jpolmod.2021.01.004
    Copyright Statement
    © 2021 Society for Policy Modeling. Published by Elsevier Ltd. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
    Note
    This publication has been entered in Griffith Research Online as an advanced online version.
    Subject
    Applied Economics
    Econometrics
    Policy and Administration
    Publication URI
    http://hdl.handle.net/10072/403100
    Collection
    • Journal articles

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