The impact of a crisis on monetary policy’s influence on financial markets: Evidence from the COVID-19 pandemic

Figures & data

Table 1. Descriptive statistics.

Variable	Number of observations	Minimum	Maximum	Mean	Standard deviation
Log return of stock market price index	3977	−0.0496	0.0332	0.0001	0.0049
Change in 10-year gov. bond yield	3977	−0.3730	0.6500	−0.0007	0.0489
Interest rate change	3977	−0.7472	0.2255	−0.0005	0.0203
Bank deposit change (THB billion)	3977	−395.6696	735.3070	4.0550	30.8208

Table 2. $y_t={\beta }_0+{\beta }_1{r}_t+{\mathrm{\beta }}_2{\mathit{\text{BD}}}_t+{ϵ}_t$ for the full period and Covid-19 period.

	Full period		Covid-19 period
	Log return of stock market price index	Change in 10-year gov. bond yield	Log return of stock market price index	Change in 10-year gov. bond yield
Interest rate change	0.034** (2.033)	0.075** (2.458)	0.156*** (3.941)	0.079** (2.319)
Bank deposit change	0.031* (1.832)	0.019 (1.330)	0.105** (2.389)	0.046 (1.356)
Observations	3977	3977	710	710
Durbin-Watson (test statistic)	1.990	1.816	2.107	2.063
White’s test (p-value)	0.001	0.514	0.001	0.992

By using the OLS approach, the coefficient estimates are derived. T values in parentheses show significance at 99%, 95%, and 90% confidence levels and ***/**/* denotes this significance. The standardized coefficients betas are shown. Robust standard errors are used.

Table 3. $y_t={\beta }_0+{\beta }_1{r}_t+{\beta }_2{\mathit{\text{BD}}}_t+{\beta }_3{\mathit{\text{cov}}}_t+{\beta }_4{\mathit{\text{cov}}}_t\mathrm{*}{r}_t+{\beta }_5{\mathit{\text{cov}}}_t\mathrm{*}{\mathit{\text{BD}}}_t+{ϵ}_t$ for the full period.

	Log return of stock market price index	Change in 10-year gov. bond yield
Interest rate change	0.012 (0.551)	0.070*** (4.037)
Bank deposit change	0.001 (0.058)	0.008 (0.411)
Cov	−0.010 (-0.605)	0.027 (1.562)
Cov*r	0.069*** (3.912)	0.014 (0.700)
Cov*BD	0.049** (2.222)	0.017 (0.992)
Observations	3977	3977
Durbin-Watson (test statistic)	1.980	1.819
White’s test (p-value)	0.001	0.401

By using the OLS approach, the coefficient estimates are derived. T values in parentheses show significance at 99%, 95%, and 90% confidence levels and ***/**/* denotes this significance. The standardized coefficients betas are shown. Robust standard errors are used.

Table 4. $y_t={\beta }_0+{\beta }_1{r}_t+{\beta }_2{\mathit{\text{BD}}}_t+{\beta }_3{\mathit{\text{sev}}}_t+{\beta }_4{\mathit{\text{sev}}}_t\mathrm{*}{r}_t+{\beta }_5{\mathit{\text{sev}}}_t\mathrm{*}{\mathit{\text{BD}}}_t+{ϵ}_t$ for Covid-19 period.

	Log return of stock market price index	Change in 10-year gov. bond yield
Interest rate change	0.005 (0.524)	0.049 (1.509)
Bank deposit change	0.160*** (4.481)	0.043 (0.736)
Sev	−0.035 (−0.769)	0.024 (0.679)
Sev*r	0.243*** (5.418)	0.045 (1.293)
Sev*BD	−0.085*** (−2.796)	0.007 (0.157)
Observations	710	710
Durbin-Watson (test statistic)	2.020	2.068
White’s test (p-value)	0.127	1.000

By using the OLS approach, the coefficient estimates are derived. T values in parentheses show significance at 99%, 95%, and 90% confidence levels and ***/**/* denotes this significance. The standardized coefficients betas are shown. Robust standard errors are used.

Table 5. Granger causality test results.

Null hypothesis	F-statistic	p value	Decision
r does not granger cause log return of stock market price	9.014	0.004***	Reject null hypothesis
Log return of stock market price does not granger cause r	2.144	0.164	Do not reject null hypothesis
r does not granger cause change in bond yield	9.674	0.003***	Reject the null hypothesis
Change in bond yield does not granger cause r	2.007	0.177	Do not reject null hypothesis
MS does not granger cause log return of stock market price	13.286	0.001***	Reject the null hypothesis
Log return of stock market price does not granger cause MS	1.448	0.295	Do not reject null hypothesis
MS does not granger cause change in bond yield	9.567	0.003***	Reject null hypothesis
Change in bond yield does not granger cause MS	12.407	0.001***	Reject null hypothesis

99%, 95%, and 90% confidence levels and ***/**/* denotes this significance.

Data availability statement

Data are contained within the article.