@article {13350,
	title = {ECB{\textquoteright}s unconventional monetary policy and cross-financial-market correlation dynamics},
	journal = {The North American Journal of Economics and Finance},
	volume = {50},
	year = {2019},
	pages = {101045},
	abstract = {This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate possible differences on the correlation dynamics across four UMP periods and across a range of developed countries and emerging market economies. The empirical results indicate a spillover effect on both developed and emerging markets, although this impact is not identical across assets and countries. We also find that the new UMP phase started in 2014 has a more prominent impact, highlighting differences on the impact between the earlier and the new wave of UMPs and across cross-market correlations.},
	url = {https://www.sciencedirect.com/science/article/abs/pii/S1062940818304856?via\%3Dihub},
	author = {Dimitris Kenourgios and Emmanouela Drakonaki and Dimitrios Dimitriou}
}
