scholarly journals The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

2014 ◽  
Author(s):  
Nikolay Gospodinov ◽  
Ibrahim Jamali
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Monetary Policy Shocks ◽  
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.

scholarly journals Monetary Policy Response to Stock Market Volatility

2016 ◽  
Vol 285 (5) ◽  
pp. 27-50
Author(s):  
Łukasz Goczek ◽  
Karol Partyka
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Policy Response ◽  
Stock Market Volatility

scholarly journals The Relation between Monetary Policy and the Stock Market in Europe

Econometrics ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 36 ◽  
Author(s):  
Helmut Lütkepohl ◽  
Aleksei Netšunajev
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Stock Prices ◽  
Causal Relation ◽  
Order Moment ◽  
Monetary Policy Shocks ◽  
Structural Shocks ◽  
Vector Autoregressive ◽  
Long Run ◽  
Policy Shocks

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes. Heteroscedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary policy shocks which is consistent with the second-order moment structure of the variables. The model indicates that contractionary monetary policy shocks lead to a long-lasting downturn of real stock prices.

Stock market volatility, the news, and monetary policy

2004 ◽  
Vol 28 (2) ◽  
pp. 252-259 ◽  
Author(s):  
Adrienne A. Kearney ◽  
Raymond E. Lombra
Keyword(s):  
Monetary Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility
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