DOI: 10.5176/2251-2012_QQE14.15

Authors: MSc Kamil Makiel

Abstract:

This paper analyzes the impact of Quantitative Easing (QE) performed in United States on relationship between assets mainly from mining and oil industries. Nine DCC-GARCH type models have been estimated for each group centered around a main asset: a company from the oil or mining industry, the appropriate currency pair for its market of origin, commodities which could be used for the diversification of risk involved in investing in a portfolio containing the company, and the largest company from the same industry listed on the United States market. Each series of conditional correlations was analyzed in regard to the changes that occurred during the various stages of quantitative easing. The correlations are shown to be stabilizing in the successive stages of quantitative easing. The most significant changes in the distribution of correlations can be observed after the first stage of QE. The effects of QE are evident not only in the United States but also in other countries, however the level of its influence varies between different markets and assets.

Keywords: Quantitative Easing, Dynamic Conditional Correlation, Oil and mining markets

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