scholarly journals Dynamic Linkages Between Monetary Policy And The Stock Market

2011 ◽  
Vol 4 (12) ◽  
Author(s):  
Nikiforos T. Laopodis
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Error Correction ◽  
Font Size ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Dynamic Relationship ◽  
Short Run ◽  
Operating Regimes ◽  
Dynamic Linkages

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.2pt 0pt 33.3pt;"><span style="font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt; font-weight: normal;">This paper examines the dynamic linkages between the federal funds rate and the S&amp;P500 index for the 1970-2003 period, decade by decade, using cointegration and error-correction methodologies. The results indicate absence of cointegration during the 1970s and the 1980s but presence of a dynamic, short-run relationship between the two variables only in the 1970s. Specifically for the 1990s, there seems to have been a disconnection between actions taken by the Fed and responses by the stock market or vice versa. Overall, the results seem to suggest that there was no concrete and consistent dynamic relationship between monetary policy and the stock market and that the nature of such dynamics was different in each of the three decades, which coincided with three different Fed operating regimes.</span></p>

scholarly journals Tax Cuts And Interest Rate Cuts: An Empirical Comparison Of The Effectiveness Of Fiscal And Monetary Policy

2011 ◽  
Vol 2 (8) ◽  
Author(s):  
Tricia Coxwell Snyder ◽  
Donald Bruce
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Error Correction ◽  
Relative Effectiveness ◽  
Explanatory Power ◽  
Tax Rates ◽  
Stabilization Policy ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Fiscal And Monetary Policy

<p class="MsoBlockText" style="margin: 0in 0.5in 0pt;"><span style="font-style: normal; mso-bidi-font-style: italic;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Can expansionary fiscal or monetary policy stimulate the U.S. economy in light of recent events?<span style="mso-spacerun: yes;">&nbsp; </span>Using an Error-Correction-Vectorautoregression, we examine the relative effectiveness of both types of governmental stabilization policy. Unlike previous studies, we use a more general error correction vectorautoregression (ECM) approach.<span style="mso-spacerun: yes;">&nbsp; </span>Our focus is on determining the relative explanatory power of measures of monetary policy (M2 and the Federal Funds Rate) and fiscal policy (marginal income tax rates and government spending) in explaining movements in consumption, investment, and output.<span style="mso-spacerun: yes;">&nbsp; </span>Results suggest that monetary policy is relatively more powerful than fiscal policy. </span></span></span></p>

scholarly journals Does Monetary Policy and Foreign Direct Investment Have an Influence on the Performance of Stock Market: Further Empirical Evidence from Ghana

2020 ◽  
Vol 2 (2) ◽  
pp. 161-176
Author(s):  
Opoku Adabor ◽  
Emmanuel Buabeng
Keyword(s):  
Monetary Policy ◽  
Foreign Direct Investment ◽  
Stock Market ◽  
Direct Investment ◽  
Market Performance ◽  
Empirical Literature ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
Positive Effect

Monetary policy, foreign direct investment, and the stock market continue to dominate in discussions in developing countries. However, the linkage between the three variables in empirical literature remains unclear. This study aims to test two separate hypotheses: Firstly, the study examines the effects of monetary policy on stock market performance in Ghana. Secondly, the study also empirically investigates the effect of foreign direct investment on stock market performance in Ghana. Autoregressive Distributed Lag (ARDL) model was employed as an estimation strategy to examine the short and long-run effects using annual time series data from 1990 to 2019. The study revealed that monetary policy rate and money supply exerts a statistically significant negative and a positive effect on stock market performance in both the long and short-run in Ghana, respectively. It was also found that foreign direct investment has significant and a positive effect on stock market performance in Ghana in both the long and short run. Total capital stock and volume traded were also found to exert significant positive and negative impacts on stock market performance both in the short and long run respectively. Based on our findings, we recommend that expansionary monetary policy will be a better option to be carried out to improve the stock market performance in Ghana. Furthermore, government and private partnership may ensure the effective management of the macroeconomic variables to attract foreign direct investment into Ghana to boost stock market performance.

scholarly journals Effects of Exchange Rate and Inflation Rate on Stock Market Returns Volatility in India.

2020 ◽  
Author(s):  
Nenavath Sre ◽  
Suresh Naik
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Error Correction ◽  
Inflation Rate ◽  
Market Returns ◽  
Stock Market Returns ◽  
Positive Effects ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run

Abstract The paper investigates the effect of exchange and inflation rate on stock market returns in India. The study uses monthly, quarterly and annual inflation and exchange rate data obtained from the RBI and market returns computed from the Indian share market index from January, 2000 to June, 2020.The paper uses the autoregressive distributed lag (ARDL) co-integration technique and the error correction parametization of the ARDL model for investigating the effect on Indian Stock markets. The GARCH and its corresponding Error Correction Model (ECM) were used to explore the long- and short-run relationship between the India Stock market returns, inflation, and exchange rate. The paper shows that there exists a long term relationship but there is no short-run relationship between Indian market returns and inflation. But, there is periodicity of inflation monthly considerable long run and short-run relationship between them existed. The outcome also illustrates a significant short-run relationship between NSE market returns and exchange rate. The variables were tested for short run and it was significantly shown the positive effects on the stock market returns and making it a desirable attribute of which investors can take advantage of. This is due to the establishment of long-run effect of inflation and exchange rate on stock market returns.

scholarly journals The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

PLoS ONE ◽  
2011 ◽  
Vol 6 (8) ◽  
pp. e22794 ◽  
Author(s):  
Kun Guo ◽  
Wei-Xing Zhou ◽  
Si-Wei Cheng ◽  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Bond Yields ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us ◽  
Treasury Bond

scholarly journals Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

2015 ◽  
Vol 7 (1) ◽  
pp. 77-109 ◽  
Author(s):  
Simon Gilchrist ◽  
David López-Salido ◽  
Egon Zakrajšek
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Zero Lower Bound ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Borrowing Costs ◽  
Pass Through

This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is comparable to that of conventional policy, in that it implies a complete pass-through of policy-induced movements in Treasury yields to comparable-maturity private yields. (JEL E31, E43, E44, E52)

Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns

2019 ◽  
Vol 33 (9) ◽  
pp. 4367-4402 ◽  
Author(s):  
Sudheer Chava ◽  
Alex Hsu
Keyword(s):  
Monetary Policy ◽  
Cross Section ◽  
Equity Returns ◽  
Monetary Policy Shocks ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Oxford University ◽  
Policy Shocks ◽  
The Cross ◽  
The Impact

Abstract We analyze the impact ofa unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flow news, but not discount rate news, for constrained firms relative to unconstrained firms. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Canadian monetary policy and the US federal funds rate

2008 ◽  
Vol 15 (11) ◽  
pp. 899-904 ◽  
Author(s):  
H. Sonmez Atesoglu ◽  
John Smithin
Keyword(s):  
Monetary Policy ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us
Sign in / Sign up

Export Citation Format

Share Document