Title: Heterogeneous drivers of Nordic capital market movements in the light of UMP

Authors: Mercédesz Mészáros; Gábor Dávid Kiss

Addresses: Faculty of Economics and Business Administration, University of Szeged, 6722 Szeged, Kálvária sgt. 1., Hungary ' Faculty of Economics and Business Administration, University of Szeged, 6722 Szeged, Kálvária sgt. 1., Hungary

Abstract: Scandinavia follows the role of a welfare state with relatively small but highly open economies, where capital markets playing a relevant role in their financing habits. Due to their macroeconomic stability and growth-orientation, Denmark, Norway and Sweden have been safe havens during the latest crisis periods. Although the role of fiscal policy is more authoritative in the Scandinavian model, there is less talk of monetary policy, but the unconventional monetary policy (UMP) has also appeared in these countries. Overall effects of these measures have not yet been fully explored, so the aim of our research was to examine the main drivers of the Scandinavian capital market indices - focusing on the possible side effects of UMP. Calibrating vector autoregression (VAR) models our results confirmed the significant effects of monetary policy. In the case of bond markets, differences in the relative size of central banks vis-à-vis the European Central Bank (ECB) was also evident over the period.

Keywords: capital markets; Scandinavia; UMP; unconventional monetary policy; VAR; vector autoregression.

DOI: 10.1504/IJMEF.2023.130890

International Journal of Monetary Economics and Finance, 2023 Vol.16 No.2, pp.83 - 104

Received: 30 Nov 2021
Accepted: 08 May 2022
Published online: 13 May 2023 *

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