scholarly journals Building the uncertainty indicator regarding adjustment of the Bank of Russia’s monetary policy relying on news sources

2020 ◽  
Vol 14 (4) ◽  
pp. 62-75
Author(s):  
Elizaveta Golovanova ◽  
Andrei Zubarev
Keyword(s):  
Monetary Policy ◽  
Text Analysis ◽  
Stock Prices ◽  
Learning Support ◽  
Communication Policy ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
News Sources ◽  
The Subject ◽  
The Impact

Text analysis with machine learning support can be implemented for studying experts’ relations to the Bank of Russia. To reach macroeconomic goals, the communication policy of the bank must be predictable and trustworthy. Surveys addressing this theme are still insufficient compare to the theoretical studies on the subject of other bank tools. The goal of this research is to analyze the perception of uncertainty by economic agents. For that purpose, we built an uncertainty indicator based on news sources from the Internet and on textual analysis. The dynamics of the indicator reflect unexpected statements of the Bank of Russia and events affecting monetary policy. Financial theory links monetary policy and stock prices, so we used this fact to examine the impact of the uncertainty indicator on the MOEX and RTS indices. We tested the hypothesis that our indicator is significant in GARCH models for chosen financial series. We found out several specifications in which our indicator is significant. Among the specifications considered, the uncertainty indicator contributes the most to explaining variances of the RTS index. The obtained uncertainty indicator can be used for forecasting of different macroeconomic variables.

The Impact of the Credit Channel on Macroeconomic Variables and Bank Characteristics in the Brazilian Economy from 2009 to 2018

2021 ◽  
Vol 40 (1) ◽  
Author(s):  
Mohammad Farajnezhad
Keyword(s):  
Monetary Policy ◽  
Fixed Effect Model ◽  
Credit Channel ◽  
Macroeconomic Variables ◽  
Brics Countries ◽  
Effect Model ◽  
Level Data ◽  
Monetary Policy Transmission Mechanism ◽  
The Interest Rate ◽  
The Impact

This article uses commercial bank-level data to examine a credit channel of the monetary policy transmission mechanism in the Brazilian economy from BRICS countries.  Static panel data with a fixed-effect model are used for data analysis. Using a sample of 212 commercial banks from 2009 to 2018. According to the findings of this study, there is a significant and positive relationship between macroeconomic variables that affect the interest rate and GDP with the loan amount, but not with the inflation rate. Also, it is reasonable to conclude that banks in Brazil react to monetary policy in a variety of ways.

The impact of monetary policy on stock prices

2008 ◽  
Vol 30 (1) ◽  
pp. 33-53 ◽  
Author(s):  
Christos Ioannidis ◽  
Alexandros Kontonikas
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
The Impact

scholarly journals Food Production and Trading Under the Impact of Sustainable Development

2016 ◽  
Vol 22 (2) ◽  
pp. 278-285
Author(s):  
Cecilia Irina Rabontu ◽  
Mădălina Cristina Vasile ◽  
Laura Nicoleta Nasta
Keyword(s):  
Sustainable Development ◽  
Adverse Effects ◽  
Food Production ◽  
Food Industry ◽  
Economic Agents ◽  
Technological Processes ◽  
Current Period ◽  
The Will ◽  
The Subject ◽  
The Impact

Abstract In the current period, more and more economic agents involved in producing and trading food are tempted to avoid certain standards of safety and innocuousness of agricultural and technological processes in order to maximize profit. There are often situations in which food producers with the will of a quick return do not realize or do not measure the adverse effects that may arise on life, health, environment and thus on sustainable development. This paper tries to determine the degree of compliance with safety rules imposed by manufacturers in the food industry but also the factors that may cause the consumer purchasing decision in the context of uncertainty about the harmlessness of food. The food correctly and environmentally made, stored, transported and traded contributes to a sustainable development, aspect that will be the subject of our study.

scholarly journals The Impact of Macroeconomic Variables on Stock Prices: An Empirical Analysis of Islamabad Stock Exchange

2014 ◽  
Vol 10 (2) ◽  
pp. 73-93
Author(s):  
Nosheen Rasool ◽  
Muhammad Mubashir Hussain
Keyword(s):  
Exchange Rate ◽  
Significant Relationship ◽  
Stock Prices ◽  
Price Index ◽  
Stock Exchange ◽  
Foreign Exchange Reserves ◽  
Macroeconomic Variables ◽  
Production Index ◽  
Long Run ◽  
The Impact

The purpose of this study was to analyze long-run causal relationship between ISE (Islamabad Stock Exchange) and macroeconomic variables in Pakistan and also find out the direction of causality. The impact of macroeconomic variables on stock prices of ISE has not been previously discussed by the researchers. The monthly data from January 2001 to December 2010 was used in this study. The set of macroeconomic variables include Exchange Rate (ER), Foreign Exchange Reserves (FER), Industrial Production Index (IPI), Interest Rate (IR), Imports (M), Money Supply (MS), Wholesale Price Index (WPI) and Exports (X). Descriptive statistics and Unit root test, Johansen Co-integration Technique and Granger Causality Technique were employed to analyze the long-run and causal relationship between the macroeconomic variables and stock prices.  The results revealed that M showed positive and significant relationship but Foreign Exchange Reserves (FER) and Industrial Production Index (IPI) indicated positive and insignificant relationship with the stock prices. Exchange rate(ER), Money supply (MS) and  Whole sale price index(WPI) showed negative but significant relationship while Interest  rate (IR) and Export( X )indicated a negative and insignificant relationship with the stock prices. The findings of Granger Causality revealed that only exports showed a unidirectional causal relationship. 

scholarly journals ESTIMATION OF RISK MANAGEMENT EFFICIENCY FROM THE PERSPECTIVE OF THE STAKEHOLDERS

2015 ◽  
Vol 10 (2) ◽  
Author(s):  
Vasilisa Makarova
Keyword(s):  
Risk Management ◽  
Stock Prices ◽  
Key Factors ◽  
Statistical Research ◽  
Management Efficiency ◽  
The Subject ◽  
The Moment ◽  
Object Of Study ◽  
The Impact ◽  
Comprehensive Study

Estimation of efficiency from the perspective of an external investor draws a high enough interest in assessing the efficiency of risk management. Since the methods risk management are nontransparent information, the carrying out of empirical research is enough complicated. However, in a number of papers the elements of the assessment of so-called "market efficiency" are traceable, among which the most common factors are: the behavior of stock prices at the moment of collapse of the market, lower average cost of capital. However, a comprehensive study on risk management efficiency of companies from the perspective of stakeholders has not yet provided. The aim of this study is to fill this gap. The purpose of this study is as follows: to identify how stakeholders assess the key factors of risk management efficiency, and to create a comprehensive approach to the implementation of this assessment with the using of statistical research techniques and methods. The object of study is the Russian real sector of economy, the subject of study is the risk management efficiency of companies. In this article author provides the results of the survey on the evaluation the risk management efficiency, processed by means of statistical analysis methods calculation of the actual ratings of Russian companies on the basis of the criteria obtained from the survey, as well as the results of the regression analysis of the impact of identified efficiency criteria of risk management on the investment attractiveness of Russian companies. In the article Russian companies are ranked based on their risk management efficiency.

scholarly journals Analysis of the impact of central bank communications on money market indicators

2021 ◽  
Vol 15 (3) ◽  
pp. 24-34
Author(s):  
Diana Petrova ◽  
Pavel Trunin
Keyword(s):  
Monetary Policy ◽  
Central Bank ◽  
Latent Dirichlet Allocation ◽  
Money Market ◽  
Communication Policy ◽  
Press Releases ◽  
Market Rate ◽  
The Future ◽  
Policy Information ◽  
The Impact

Press releases on monetary policy play an important role in the communication policy of the central bank. These press releases explain key rate decisions and provide signals about the future direction of the central bank’s monetary policy. Information signals can influence the expectations of financial market participants and increase the predictability and effectiveness of monetary policy. There are not enough research papers dedicated to the text analysis of the Bank of Russia press releases and the assessment of information signals. Hence, this article examines the impact of information signals about monetary policy on the money market rate, term and credit spreads. First, we estimate latent Dirichlet allocation to determine the topics of information signals. Second, we use sentiment analysis to construct signals about easing or tightening of the monetary policy. Third, the impact of signals about the future monetary policy on the money market indicators is assessed using the exponential GARCH model. Empirical research has shown that signals of future monetary policy easing are associated with lower money market rates and term spreads, and an increase in the credit spread. The result proved to be resistant to various ways of vectorizing the text of press releases. The article was prepared as a part of the state assignment research of Russian Presidential Academy of National Economy and Public Administration.

scholarly journals The Effects of Money Supply and Interest Rates on Stock Prices, Evidence from Two Behavioral Experiments

2021 ◽  
Vol 8 (2) ◽  
pp. 33
Author(s):  
Christian A. Conrad
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Prices ◽  
Positive Impact ◽  
Real Economy ◽  
Behavioral Experiments ◽  
The Impact

What is the impact of interest rate and monetary policy on the stock market? Some studies find a positive impact of expansive monetary policy on stock prices others prove the opposite. This paper examines the effects of monetary expansion and interest rate changes on investment behavior on the stock market by illustrating two behavioral experiments with students. In our experiments the increase of money supply and the decrease of interest rates had a direct positive impact on share prices. These findings support the hypothesis that extreme expansive monetary policy with low, zero or negative interest rates encourage financial bubbles on the stock market. To avoid a crash the exit from such a policy must be slow. As happened in 1929, crashes can damage the financial system and the real economy. Central banks must take this into account in their monetary policy.

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