Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model

2011 ◽  
Vol 51 (4) ◽  
pp. 339-349 ◽  
Author(s):  
Kuang-Chung Hsu ◽  
Hui-Chu Chiang
Keyword(s):  
Monetary Policy ◽  
Stock Returns ◽  
Autoregressive Model ◽  
Nonlinear Effects ◽  
Smooth Transition ◽  
Smooth Transition Autoregressive

scholarly journals Effect of Monetary Policy on the Nigerian Stock Market: A Smooth Transition Autoregressive Approach

2021 ◽  
Vol 12 (No. 1) ◽  
pp. 1-21
Author(s):  
Jamilu S. Babangida ◽  
Asad-Ul I. Khan
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Money Supply ◽  
Stock Exchange ◽  
Smooth Transition ◽  
Exchange Market ◽  
Treasury Bill ◽  
Negative Effect ◽  
Effect Of Monetary Policy ◽  
Smooth Transition Autoregressive

This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.

MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES

2002 ◽  
Vol 6 (2) ◽  
pp. 202-241 ◽  
Author(s):  
Joakim Skalin ◽  
Timo Teräsvirta
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Oecd Countries ◽  
Smooth Transition ◽  
Stable Model ◽  
Unemployment Rates ◽  
Asymmetric Behavior ◽  
In Series ◽  
Globally Stable ◽  
Smooth Transition Autoregressive

The paper discusses a simple univariate nonlinear parametric time-series model for unemployment rates, focusing on the asymmetry observed in many OECD unemployment series. The model is based on a standard logistic smooth transition autoregressive model for the first difference of unemployment, but it also includes a lagged level term. This model allows for asymmetric behavior by permitting “local” nonstationarity in a globally stable model. Linearity tests are performed for a number of quarterly, seasonally unadjusted, unemployment series from OECD countries, and linearity is rejected for a number of them. For a number of series, nonlinearity found by testing can be modeled satisfactorily by use of our smooth transition autoregressive model. The properties of the estimated models, including persistence of the shocks according to them, are illustrated in various ways and discussed. Possible existence of moving equilibria in series not showing asymmetry is investigated and modeled with another smooth transition autoregressive model.

Sign in / Sign up

Export Citation Format

Share Document