The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases

2009 ◽  
Vol 18 (1) ◽  
pp. 47-55 ◽  
Author(s):  
Mira Farka
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Effect Of Monetary Policy

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.

On the effects of monetary policy in Russia: The role of the space of spanned shocks and the policy regime shifts

2018 ◽  
pp. 33-55 ◽  
Author(s):  
A. A. Pestova
Keyword(s):  
Monetary Policy ◽  
Policy Instruments ◽  
Recursive Identification ◽  
Monetary Shocks ◽  
Monetary Policy Shocks ◽  
Vector Autoregressions ◽  
Policy Regime ◽  
Relative Contribution ◽  
Policy Shocks ◽  
Effect Of Monetary Policy

This paper investigates the influence of monetary policy shocks in Russia on the basic macroeconomic and financial indicators. To identify the shocks of monetary policy, the Bayesian approach to the estimation of vector autoregressions (VARs) is applied, followed by extraction of the unexplained dynamics of monetary policy instruments (shocks) using both recursive identification and sign restrictions approach. The estimates show that the monetary policy shocks, apparently, cannot be attributed to the key drivers of cyclical movements in Russia, as they explain only less than 10% of the output variation and from 5 to10% of the prices variation. When applying recursive identification, no restraining effect of monetary policy on prices is found. Respective impact on output is negative and statistically significant in all identification procedures employed; however, the relative contribution of monetary shocks to output is not large. In addition, no significant effect of monetary policy tightening on the stabilization of the ruble exchange rate was found.

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 Pengaruh Guncangan Kebijakan Moneter dan Variabel Makro Terhadap Dana Pihak Ketiga (DPK) Bank Syariah di Indonesia

2017 ◽  
Vol 4 (8) ◽  
pp. 642
Author(s):  
Mohammad Abdul Adim ◽  
Raditya Sukmana
Keyword(s):  
Monetary Policy ◽  
Secondary Data ◽  
Islamic Banks ◽  
Monetary Policy Shocks ◽  
Financial Reports ◽  
Vector Autoregressive ◽  
Long Run ◽  
Policy Shocks ◽  
Short Run ◽  
Effect Of Monetary Policy

The purpose of this research is to find out the effect of monetary policy shocks and macro variables towards Islamic banks deposits. The method that used in this researc his quantitative method and also using secondary data which obtained from financial reports and other reports started from 2005 until the end of 2015. Analysis technique used is Johansen Cointegration and Vector Autoregressive (VAR). The result are monetary policy shocks have affect significant on deposits Islamic banks in long run and short run. Furthermore, variables macroeckonomic like GDP and CPI have effect significant on deposits in Islamic banks. interestingly, the money supply in the long run have significant effect on Islaimc banks deposits, but in the short run does not have a significant effect on the deposits of Islamic banks.

scholarly journals The role of foreign banks in the transmission of monetary policy: Empirical evidence from Tunisia

2021 ◽  
Vol 66 (228) ◽  
pp. 101-122
Author(s):  
Mohamed Gassouma ◽  
Kais Ben-Ahmed
Keyword(s):  
Monetary Policy ◽  
Concentration Index ◽  
Foreign Banks ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Credit Supply ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Effect Of Monetary Policy ◽  
Transmission Of Monetary Policy

This paper presents an empirical analysis of the effect of monetary policy shocks on credit supply in Tunisia, using a vector autoregressive model and a nonlinear interactive model. The focus is on the magnitude of these shocks in the presence of foreign banks. The variables of interest are the concentration index of deposit banks, and monetary policy shocks based on the monthly data of 27 universal and business banks covering the period 1993 to 2016. The results support a positive and significant impact of concentration index on credit supply. However, monetary policy shocks appear to have no significant effect when the market is concentrated with the entry of foreign banks. The findings of this study also reveal that the entry of foreign banks neutralises monetary policy shock transmission in the credit supply, which may be offset by market discipline.

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