Evaluating the Effects of Monetary Policy Shocks on Aggregate Demand Components in GCC Countries: Evidence from Svar

2014 ◽  
Vol 48 (1) ◽  
pp. 405-423
Author(s):  
Sayyed Mahdi Ziaei
Keyword(s):  
Monetary Policy ◽  
Aggregate Demand ◽  
Monetary Policy Shocks ◽  
Gcc Countries ◽  
Policy Shocks

scholarly journals Monetary policy shocks and stock market volatility in emerging markets

2020 ◽  
Vol 10 (3) ◽  
pp. 50-61
Author(s):  
Betchani Tchereni ◽  
Songezo Mpini
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Markets ◽  
Aggregate Demand ◽  
Negative Relationship ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Repo Rate

This paper examines the effect of monetary policy decisions on stock markets in emerging economies particularly South Africa for the period 2000Q1 to 2016Q4. This is important as the monetary authorities would understand how their decisions may cause reactions to the stock market. Monetary policy directly shocks money supply and repo rate and indirectly GDP and inflation among many macroeconomic variables. A hypothesis that stock markets do not respond to monetary policy determinations is formulated and tested using a two-stage approach by employing first the vector error correction model to determine the long-run relationship of the variables and secondly GARCH (1, 2) model to determine the volatility. And the results suggest that about 5.2% variations in the Johannesburg Stock Exchange (JSE) volatility are due to monetary policy shocks. Overall, there is a negative relationship between M2 and stock market volatility. However, there is a positive link between repo rate and JSE volatility, which is not economically preferable because variations in repo rate influence the aggregate demand of investment on securities. The study recommends that the Monetary Policy Committee an expansionary monetary policy of keeping the repo rate lower must be pursued in order to increase borrowing that makes the public to have money to make transactions in securities on the financial market.

Do Money Targets Matter for Monetary Policy in Kenya?

2018 ◽  
Author(s):  
Michal Andrle ◽  
Andrew Berg ◽  
Enrico Berkes ◽  
R. Armando Morales ◽  
Rafael Portillo ◽  
...  
Keyword(s):  
Monetary Policy ◽  
Money Demand ◽  
Aggregate Demand ◽  
Demand Forecasting ◽  
Money Growth ◽  
Structural Shocks ◽  
Macroeconomic Volatility ◽  
Ex Post ◽  
Policy Shocks ◽  
General Specification

The framework in Chapter 15 is extended to incorporate an explicit role for money aggregates, with an application to Kenya. The chapter provides a general specification that can nest various types of money targeting (ranging from targets based on optimal money demand forecasts to those derived from simple money growth rules), interest-rate based frameworks, and intermediate cases. A novel interpretation of target misses in terms of structural shocks (aggregate demand, policy, shocks to money demand, etc.) is presented. In the case of Kenya, the authors find that: (i) the setting of money targets is consistent with money demand forecasting, (ii) targets have not played a systematic role in monetary policy, and (iii) target misses mainly reflect shocks to money demand. Simulations of the model under alternative policy specifications show that the stronger the ex post target adherence, the greater the macroeconomic volatility.

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