The effects of monetary policy on stock market performance a cross-country analysis
Several studies report an empirical link between changes in monetary policy and short- as well as long-run stock market performance in the United States.
Such findings are germane both to the study of market anomalies and to monetary policy transmission mechanisms. Previous univariate time-series results on long-run data, which use the discount rate as the main policy indicator, seem robust to alternative specifications of stock price returns given data on 16 countries from through However, out-of-sample tests indicate that the relation has largely decreased over time.
Effect of monetary policy on stock market | Rohit Akiwatkar - qoxoxoxiqel.web.fc2.com
Also, panel regressions, which notably include cross-sectional variance and therefore are particularly relevant to market participants, suggest that the relation is less sturdy, and consideration of excess as opposed to raw equity price returns in time-series regressions indicates no relation.
Finally, alternative measures of central bank policy suggest a weaker and a diminished correlation between monetary policy changes and long-run stock market performance. If you experience problems downloading a file, check if you have the proper application to view it first.
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Please be patient as the files may be large. Monetary policy ; Stock market ; This paper has been announced in the following NEP Reports: NEP-ALL All new papers NEP-CBA Central Banking NEP-FMK Financial Markets NEP-MON Monetary Economics NEP-PKE Post Keynesian Economics References References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: A Perspective on Conditional Asset Pricing ," NBER Working PapersNational Bureau of Economic Research, Inc.
J Benson Durham, "undated". Barro, Robert J, sal governale biography RATS procedure to perform Extreme Bounds Analysis ," Statistical Software Components RTS, Boston College Department of Economics.
Schwert, G William, Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Projectsubscribe to its RSS feed for this item. Department of Economic StudiesUniversity of Naples "Parthenope", Italy.
An rs best way to make money eoc correction and simultaneous equation approach ," Finance and Economics Discussion SeriesBoard of Governors of the Federal Reserve System U. Statistical Mechanics and its ApplicationsElsevier, vol. Lists This item is not listed on Wikipedia, on a reading list the effects of monetary policy on stock market performance a cross-country analysis among the top items on IDEAS.
Monetary Policy Impact on Stock Return: Evidence from Growing Stock Markets
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The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses
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Paper provided by Board of Governors of the Federal Reserve System U. HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. NEP-ALL All new papers NEP-CBA Central Banking NEP-FMK Financial Markets NEP-MON Monetary Economics NEP-PKE Post Keynesian Economics. References listed on IDEAS Please report citation or reference errors toorif you are the registered author of the cited work, log in to your RePEc Author Service profileclick on "citations" and make appropriate adjustments.: Full references including those not matched with items on IDEAS.
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