Stock Market Conditions and Monetary Policy in an DSGE Model for the US

Significance In one of the most significant changes in direction in a major emerging market (EM) in recent years, newly appointed TCMB Governor Naci Agbal has tightened monetary policy dramatically while abandoning a convoluted system of multiple interest rates. With another technocrat, Lufti Elvan, appointed finance minister, monetary policy could be returning to normality. Impacts A Biden administration is expected to prove unaccommodating towards Turkey, especially given its purchase of a Russian air defence system. This may be leading Erdogan to extend feelers to the EU, recently promising reforms and insisting Turkey is an “inseparable” part of Europe. Anti-coronavirus vaccines’ late-stage trial results are encouraging market optimism, with the US stock market hitting a record this month.

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Spillover Effect of US Monetary Policy to ASEAN Stock Market

Jurnal Economia ◽

10.21831/economia.v15i2.26314 ◽

2019 ◽

Vol 15 (2) ◽

pp. 232-242

Author(s):

Aniek Hindrayani ◽

Fadikia K Putri ◽

Inda F Puspitasari

Keyword(s):

Monetary Policy ◽

Stock Market ◽

Markov Switching ◽

Spillover Effect ◽

Spillover Effects ◽

Bear Market ◽

Bull Market ◽

The Us ◽

Recession Period ◽

Us Monetary Policy

Abstract: This study analyzes the spillover effects of the US monetary policy on the ASEAN stock market with Markov switching model and investigates differences in empirical results of each country from ASEAN member. The results of this study have important implications for asset price allocation, specifically in the case of a transition between US and other small countries. The results showed that the ASEAN stock market is more affected by the US interest rates during bull-market than bear-markets. This can be seen from the increasing of stock market volatility during expansion comparing with recession period. Therefore, the stock markets of ASEAN countries will not be easily affected by the dollar rate during financial crisis or the recession period. Keywords: stock market, monetary policy, spillover effect, Markov-switching modelEfek Spillover pada Perubahan Kebijakan Moneter Amerika Terhadap Stock Market di ASEANAbstrak: Penelitian ini menganalisis efek spillover akibat adanya perubahan kebijakan moneter Amerika terhadap stock market di ASEAN dengan model Markov switching dan menginvestigasi terkait ada atau tidaknya perbedaan pada hasil empiris di setiap negara anggota ASEAN. Hasil penelitian ini memberikan implikasi penting bagi mekanisme transisi harga aset, khususnya dari Amerika terhadap negara dengan skala perekonomian kecil. Hasil penelitian menunjukkan bahwa stock market ASEAN lebih mudah terpengaruh oleh tingkat suku bunga Amerika pada saat kondisi bull-market dibandingkan saat bear-market. Hal ini dapat dilihat dari tingginya volatilitas stock market pada saat ekspansi dibandingkan saat periode resesi, sehingga stock market negara-negara ASEAN tidak akan mudah terpengaruh oleh dollar pada saat perekonomian mengalami krisis atau saat periode resesi. Kata kunci: stock market, kebijakan moneter, spillover effect, model Markov-switching

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Impacts of the US monetary policy on the Vietnamese stock market

Afro-Asian J of Finance and Accounting ◽

10.1504/aajfa.2016.077331 ◽

2016 ◽

Vol 6 (2) ◽

pp. 119

Author(s):

Xuan Vinh Vo ◽

Phuc Canh Nguyen

Keyword(s):

Monetary Policy ◽

Stock Market ◽

The Us ◽

Us Monetary Policy

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Inflation, Monetary Policy and Stock Market Conditions

10.3386/w14019 ◽

2008 ◽

Cited By ~ 12

Author(s):

Michael Bordo ◽

Michael Dueker ◽

David Wheelock

Keyword(s):

Monetary Policy ◽

Stock Market ◽

Market Conditions

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The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks

Journal of Risk and Financial Management ◽

10.3390/jrfm12040160 ◽

2019 ◽

Vol 12 (4) ◽

pp. 160 ◽

Cited By ~ 1

Author(s):

Seema Narayan

Keyword(s):

Stock Market ◽

Stock Markets ◽

Stock Price ◽

Portfolio Diversification ◽

Market Conditions ◽

Bear Market ◽

Market Effects ◽

Market Return ◽

The Us ◽

Foreign Shocks

This paper evaluates the influence of foreign or domestic stock market return and return of volatility shocks on dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be seen as risks to portfolio diversification. Meanwhile, domestic shocks are sourced from the return and return volatility from 24 developed, emerging, and frontier stock markets. The US stock market is the source of foreign shocks. The domestic and foreign shocks are derived using market-based returns and under bearish market conditions. We estimate multivariate exponential generalized autoregressive conditional heteroskedasticity (E-GARCH) models using daily and monthly MSCI based stock price data of selected developed, emerging, and frontier markets over 1993:1–2014:1. Our key results are as follows. Domestic market shocks were significant drivers of gains from portfolio diversification most of the time, although the US market effects were relatively stronger. On the other hand, the US, in terms of the number of significant cases as well as the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification). Further, under bear market conditions, adjustments in correlations and correlation volatilities are found to be mostly US-induced. Bearish shocks, rather than market return based shocks, show strong evidence of the leverage effect. Signs of persistence of shocks are mainly noticed under bearish conditions.

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