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The Impact of Monetary Policy on Stock Prices [2]

论文作者:英国论文论文属性:硕士毕业论文 thesis登出时间:2010-04-22编辑:vshellyn点击率:33398

论文字数:12500论文编号:org201004221637259403语种:英语 English地区:英国价格:免费论文

附件:Article_3.pdf

关键词:Monetary PolicyStock PricesAsset prices

expectations of future economic activity. These
channels of influence are interlinked since more restrictive monetary policy usually implies
both higher discount rates and lower future cash flows. Thus, monetary policy tightening

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1 Goodhart and Hofmann (2000) establish empirically the link between output growth, credit aggregates, and
asset price movements in a number of major economies.


should be associated with lower stock prices given the higher discount rate for the expected
stream of cash flows and/or lower future economic activity. In contrast, an expansive
monetary environment is commonly viewed as good news as these periods are usually
associated with low interest rates, increases in economic activity and higher earnings for the
firms in the economy. Consequently, stock market participants pay close attention to
strategies based on the stance of the monetary authority as inferred by changes in indicators of
central bank policy. Also, the financial press often interprets asset price movements as
reaction to monetary policy shifts, attributing for instance increases in stock markets to low
interest rates.代写留学生论文
Previous empirical evidence broadly supports the notion that restrictive (expansive)
monetary policy decreases (increases) contemporaneous stock returns, as well as expected
stock returns2. These studies typically relate stock returns to measures of monetary policy
stringency in the context of single equation specifications and/or multivariate Vector
Autoregressions (VAR’s). In this paper we take a closer look at the impact of monetary policy
on stock returns by utilising thirty years of data across thirteen OECD countries. Given the
considerable debate on the relative merits of money aggregates during the late 1970s and
early 1980s, we adopt the nowadays standard approach of measuring monetary policy using
interest rate variables. We expand previous work by examining the sensitivity of our findings
to the inclusion of dividend payments in the stock returns calculation, while considering both
nominal and real returns. Our results indicate that for the majority of the countries under
investigation the monetary environment is an important determinant of investors’ required
returns. This holds across a variety of returns specifications (nominal, real, dividend adjusted,
non-adjusted). We also examine the contemporaneous effect of monetary policy on stock
returns taking into account the non-normality typically inherent in such data as well as the
significant co-movement of international stock markets. The main result, that expansionary
monetary policy boosts the stock market, remains largely robust in most sample countries.
The implications of such findings for monetary policy making and investor portfolio
formation are highly important. Central bankers and stock market participants should be
aware of the relationship between monetary policy and stock market performance in order to
better understand the effects of policy shifts. Monetary authorities in particular face the
dilemma of whether to react to stock price movements, above and beyond the standard
response to inflation and output developments. There is an ongoing debate in the monetary
policy rules literature between the proactive and reactive approach. On论文英语论文网提供整理,提供论文代写英语论文代写代写论文代写英语论文代写留学生论文代写英文论文留学生论文代写相关核心关键词搜索。

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