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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Author(s)
Singh, Vikkram
Roca, Eduardo
Li, Bin
Year published
2021
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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 ...
View more >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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View more >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.
View less >
Journal Title
Journal of Policy Modeling
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