scholarly journals Stock prices and monetary policy shocks: A general equilibrium approach

2014 ◽  
Vol 40 ◽  
pp. 46-66 ◽  
Author(s):  
Edouard Challe ◽  
Chryssi Giannitsarou
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Equilibrium Approach ◽  
Policy Shocks

scholarly journals Spillovers of US Conventional and Unconventional Monetary Policies to Russian Financial Markets

2018 ◽  
Vol 10 (2) ◽  
pp. 14 ◽  
Author(s):  
Shigeki Ono
Keyword(s):  
Monetary Policy ◽  
Financial Markets ◽  
Interest Rates ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Federal Funds Rate ◽  
Monetary Policies ◽  
Endogenous Variables ◽  
Policy Shocks ◽  
Monetary Policy Shock

This paper investigates the spillovers of US conventional and unconventional monetary policies to Russian financial markets using VAR-X models. Impulse responses to an exogenous Federal Funds rate shock are assessed for all the endogenous variables. The empirical results show that both conventional and unconventional tightening monetary policy shocks decrease stock prices whereas an easing monetary policy shock does not increase stock prices. Moreover, the results suggest that an unconventional tightening monetary policy shock increases Russian interest rates and decreases oil prices, implying reduced liquidity in international financial markets.

scholarly journals Szoki polityki fiskalnej i monetarnej jako przedmiot badań makroekonomii gospodarki otwartej

2015 ◽  
pp. 93-116
Author(s):  
Agnieszka Domańska
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Open Economy ◽  
Research Method ◽  
Stochastic Dynamic ◽  
Monetary Policy Shocks ◽  
Modern Approach ◽  
Policy Shocks ◽  
The Subject ◽  
Fiscal And Monetary Policy

The aim of this study is to present selected aspects of fiscal and monetary policy shocks as the subject of studies of open economy macroeconomics. The study concentrates on the development of the model presentation (evolution of the research method) in description of fiscal and monetary policy shocks, with a focus on the modern quantitative approach. At present the modern approach to the research on fiscal and monetary policy shocks is based on advanced methods of data analyzing, such as autoregressive models (VAR), or stochastic dynamic general equilibrium models (DSGE)

scholarly journals The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

2015 ◽  
Vol 7 (1) ◽  
pp. 233-257 ◽  
Author(s):  
Jordi Galí ◽  
Luca Gambetti
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Equity Premium ◽  
Monetary Policy Shocks ◽  
Conventional View ◽  
Varying Coefficients ◽  
Stock Market Bubbles ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Time Varying Coefficients

We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the “conventional” view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endogenous response of the equity premium to the monetary policy shock. (JEL E43, E44, E52, G12, G14)

scholarly journals Monetary Policy and Intangible Investment

2020 ◽  
Vol 20 (160) ◽  
Author(s):  
Robin Döttling ◽  
Lev Ratnovski
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Stock Price ◽  
Intangible Assets ◽  
User Cost ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Total Investment ◽  
Intangible Investment ◽  
Local Projections

We contrast how monetary policy affects intangible relative to tangible investment. We document that the stock prices of firms with more intangible assets react less to monetary policy shocks, as identified from Fed Funds futures movements around FOMC announcements. Consistent with the stock price results, instrumental variable local projections confirm that the total investment in firms with more intangible assets responds less to monetary policy, and that intangible investment responds less to monetary policy compared to tangible investment. We identify two mechanisms behind these results. First, firms with intangible assets use less collateral, and therefore respond less to the credit channel of monetary policy. Second, intangible assets have higher depreciation rates, so interest rate changes affect their user cost of capital relatively less.

scholarly journals The Relation between Monetary Policy and the Stock Market in Europe

Econometrics ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 36 ◽  
Author(s):  
Helmut Lütkepohl ◽  
Aleksei Netšunajev
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Prices ◽  
Causal Relation ◽  
Order Moment ◽  
Monetary Policy Shocks ◽  
Structural Shocks ◽  
Vector Autoregressive ◽  
Long Run ◽  
Policy Shocks

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes. Heteroscedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary policy shocks which is consistent with the second-order moment structure of the variables. The model indicates that contractionary monetary policy shocks lead to a long-lasting downturn of real stock prices.

Monetary Policy Shocks and Effectiveness of Channels of Transmission in Nigeria: A Dynamic Stochastic General Equilibrium Approach

2019 ◽  
Vol 20 (2) ◽  
pp. 331-353 ◽  
Author(s):  
Akinlo Anthony Enisan ◽  
Apanisile Olumuyiwa Tolulope
Keyword(s):  
Monetary Policy ◽  
General Equilibrium ◽  
Dynamic Stochastic General Equilibrium ◽  
Monetary Policy Transmission ◽  
Monetary Policy Shocks ◽  
Transmission Channels ◽  
Policy Transmission ◽  
Policy Shocks ◽  
Dynamic Stochastic ◽  
Monetary Policy Shock

This study examines the effect of anticipated and unanticipated monetary policy shocks on the effectiveness of monetary policy transmission mechanism in Nigeria by estimating a sticky-price dynamic stochastic general equilibrium (DSGE) model using Bayesian estimation approach. Four major transmission channels (exchange rate, interest rate, credit and expectation) are considered due to the economic and financial conditions of Nigeria. The study employs quarterly data from 1986:1 to 2013:4 and data are sourced from World Development Indicator (online version). Results show that unanticipated monetary policy shock has short-run impact on monetary policy transmission channels, while anticipated monetary policy shock has long-run impact on the monetary policy transmission channels. The study, therefore, concluded that efforts should be directed at reducing the unanticipated monetary policy by announcing government policy at the beginning of the year so as to reduce people’s expectation.

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