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The Impact of Monetary Policy on Stock Prices

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:33622

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


关键词:Monetary PolicyStock PricesAsset prices


This paper investigates the impact of monetary policy on stock returns in thirteen OECD
countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our contribution with respect to previous work is threefold. First, we show that our findings are robust to various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality exhibited by the stock returns data. Finally, we take into account the increasing co-movement among international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.
JEL classifications: E44; E52; E60

Keywords: Monetary policy; Asset prices

1. Introduction
Monetary policy attempts to achieve a set of objectives that are expressed in terms of
macroeconomic variables such as inflation, real output and employment. However, monetary
policy actions such as changes in the central bank discount rate have at best an indirect effect on these variables and considerable lags are involved in the policy transmission mechanism.
Broader financial markets though, for example the stock market, government and corporate
bond markets, mortgage markets, foreign exchange markets, are quick to incorporate new
information. Therefore, a more direct and immediate effect of changes in the monetary policy
instruments may be identified using financial data. Identifying the link between monetary
policy and financial asset prices is highly important to gain a better insight in the transmission 代写留学生论文 mechanism of monetary policy, since changes in asset prices play a key role in several channels.
In this paper, we provide empirical evidence on the relationship between monetary
policy and one of the most important financial markets, the stock market. Stock prices are
among the most closely monitored asset prices in the economy and are commonly regarded as
being highly sensitive to economic conditions. In the context of the transmission mechanism
through the stock market, monetary policy actions affect stock prices, which themselves are
linked to the real economy through their influence on consumption spending (wealth effect
channel) and investment spending (balance sheet channel)1. As Bernanke and Kuttner (2005)
point out, some observers view the stock market as an independent source of macroeconomic
volatility to which policymakers may wish to respond. Stock prices often exhibit pronounced
volatility and boom-bust cycles leading to concerns about sustained deviations from their
‘fundamental’ values that, once corrected, may have significant adverse consequences for the
broader economy. Hence, establishing quantitatively the existence of a stock market response
to monetary policy changes will not only be germane to the study of stock market
determinants but will also contribute to a deeper understanding of the conduct of monetary
policy and of the potential economic impact of policy actions or inactions.
According to the discounted cash flow model, stock prices are equal to the present
value of expected future net cash flows. Monetary policy should then play an important role
in determining equity returns either by altering the discount rate used by market participants
or by influencing market participants’ 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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