Quantitative Easing and US Stock Prices

2015 ◽  
Author(s):  
Miguel Villanueva
Keyword(s):  
Stock Prices ◽  
Quantitative Easing

Assessing the Macroeconomic Effects of Quantitative Easing: Empirical Evidence from the Federal Reserve’s Experience

2019 ◽  
Vol 67 (3-4) ◽  
pp. 233-245
Author(s):  
Achille Dargaud Fofack ◽  
Ahmet Aker ◽  
Husam Rjoub ◽  
Amin Sokhanvar
Keyword(s):  
Stock Prices ◽  
Economic Activity ◽  
The United States ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Monthly Data ◽  
Svar Model ◽  
The Us ◽  
Us Dollar ◽  
Structural Vector

This article aims at assessing the effects of the Federal Reserve’s quantitative easing (QE) programmes on both economic activity and prices in the United States. Using a structural vector autoregression (SVAR) model on monthly data from January 2007 to March 2017, it is assumed that a substantial fraction of the liquidity injected under the Federal Reserve’s quantitative easing programmes was used to artificially inflate stock prices. Furthermore, QE is assumed to be a competitive devaluation programme. The findings reveal that QE helps support economic activity, while its effect on inflation is rather small and insignificant. Besides, it is also found that QE boosts stock prices but does not have a significant effect on the US dollar.

scholarly journals QUANTITATIVE EASING POLICY, EXCHANGE RATES AND BUSINESS ACTIVITY BY INDUSTRY IN JAPAN FROM 2001 TO 2006

2019 ◽  
pp. 1-28
Author(s):  
HIROYUKI IJIRI ◽  
YOICHI MATSUBAYASHI
Keyword(s):  
Exchange Rates ◽  
Stock Prices ◽  
Fixed Effects ◽  
Business Activity ◽  
Quantitative Easing ◽  
Real Economy ◽  
Monthly Data ◽  
Iron And Steel ◽  
Time Varying Parameter ◽  
Dollar Depreciation

This study empirically investigates the dynamic effects of Japan’s quantitative easing (QE) policy on industry-specific business activity using a time-varying parameter model and monthly data spanning 2001–2006. This model yields more reliable and precise results than earlier fixed effects models using quarterly data. The first major finding is that the effect of QE on yen–dollar exchange rates varied during the sampled period and is most evident in the final phases, whereas its effect on stock prices persisted almost continuously. Second, QE’s effect on Japan’s real economy — i.e., on industrial production — varies by industry and over time. Most notably, QE raised production via yen–dollar depreciation in the machinery sector (e.g., general and transport machinery) and the sector including chemicals, non-ferrous metals and iron and steel during its latter phases. This study is the first to investigate how unconventional monetary policy influences Japan’s real economy by analyzing the real exchange rate during the second half of QE implementation in Japan.

scholarly journals Expectations and the quantitative easing in Eurozone

2018 ◽  
Vol 7 (1) ◽  
pp. 18
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Regression Method ◽  
Quantitative Easing ◽  
Transmission Channel ◽  
Labor Market Conditions ◽  
Economic Productivity ◽  
Switching Dynamic ◽  
The 2008 Financial Crisis ◽  
Primary Transmission

The European economy suffered from both the 2008 financial crisis and the debt sovereign crisis of certain of its members and then experienced a period of quantitative easing (QE) starting in 2015. The goal of this study is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and labor markets across the Eurozone. The analysis employs the Markov-switching dynamic regression method. The findings illustrate the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the QE policy is the expectations channel.

Did Quantitative Easing Only Inflate Stock Prices? Macroeconomic Evidence from the US and UK

2016 ◽  
Author(s):  
Mirco Balatti ◽  
Chris Brooks ◽  
Michael P. Clements ◽  
Konstantina Kappou
Keyword(s):  
Stock Prices ◽  
Quantitative Easing ◽  
The Us

The role of the expectations channel in the quantitative easing in the Eurozone

2019 ◽  
Vol 46 (2) ◽  
pp. 372-382 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Labor Markets ◽  
Stock Prices ◽  
Methodological Approach ◽  
Quantitative Easing ◽  
Data Set ◽  
Content Type ◽  
Economic Productivity ◽  
Financial Variables ◽  
Switching Dynamic

Purpose The purpose of this paper is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity and labor markets across the Eurozone. Design/methodology/approach Using a range of variables, the analysis employed the Markov-switching dynamic regression methodological approach. Findings The findings provided evidence in favor of the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the quantitative easing policy is the expectations channel. Originality/value The novelties of this paper are twofold: it makes use of a wide data set to investigate the effect of economic and financial variables on productivity, labor markets, bond markets and equity markets in the Eurozone; and the analysis focuses on the direct effects of monetary base increases on the Eurozone economy, as well as on Eurozone financial markets.

THE EFFECTS OF UNCONVENTIONAL MONETARY POLICY IN JAPAN: NEW EVIDENCE FROM TIME-VARYING PARAMETER VAR ANALYSIS

2019 ◽  
pp. 1-20 ◽  
Author(s):  
KANSHO PIOTR OTSUBO
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Foreign Capital ◽  
Quantitative Easing ◽  
Time Varying ◽  
Unconventional Monetary Policy ◽  
Impulse Responses ◽  
Domestic Capital ◽  
Time Varying Parameter ◽  
Monetary Policy Shock

This paper investigates the macroeconomic effects of unconventional monetary policies by estimating a time-varying parameter structural vector auto-regression (TVP-VAR) using Japanese monthly data beginning with the implementation of quantitative easing in 2001. The results of the empirical study can be summarized in four points. First, the impulse responses of output to a positive monetary policy shock rose during the period of quantitative easing (March 2001–July 2006) but declined after the comprehensive monetary easing began (October 2010–July 2015). Second, the impulse responses of inflation to a positive monetary policy shock became stably positive after the introduction of inflation targeting in January 2013. Third, the impulse responses of stock prices to positive monetary policy shocks rose each time an unconventional monetary policy was adopted. Finally, the recovery of the credit transmission channel might be attributed to the level of non-performing loans remaining low. The third result implies that increased stock prices from a monetary policy shock are primarily affected by foreign capital because foreign capital responds more strongly than domestic capital to unconventional monetary policy.

The Effect of Current Ratio and Debt to Asset Ratio on Net Profit Margin and Stock Prices: A Study of Basic Industry and Chemicals Companies

2020 ◽  
pp. 282-294
Author(s):  
Sudirman S ◽  
Muhammad Wahyuddin Abdullah ◽  
Muhammad Obie
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Secondary Data ◽  
Profit Margin ◽  
Current Ratio ◽  
Industry Sector ◽  
Basic Industry ◽  
Net Profit ◽  
Equity Ratio ◽  
Index Value

This study examined the effect of current ratio and debt to asset ratio on net profit margin and stock prices of the sector basic industry and chemicals companies listed on the Indonesia Stock Exchange in the period 2015-2019. The object of research was the stock prices of companies in the Basic Industry and Chemicals sector, which have been published through the official website of the Indonesian capital market. It was used secondary data derived from the monthly statistics, including Current Ratio data, Net Profit Margin, Debt to Asset Ratio, and data on closing prices for the period 2015-2019. In analyzing data, it was used path analysis of secondary data obtained from the basic industry sector financial statements of 60 companies. The company's performance in this sector is considered quite good when seen from the movement of the index value in the last five years. The results show that direct current ratio had a positive and significant effect on the net profit margin, and the debt to equity ratio did not significantly influence the net profit margin. The current ratio has a positive and significant effect on stock prices, and the debt to equity ratio has a negative and not significant effect on stock prices. In contrast, the net profit margin has a significant effect on stock prices in the basic industry sector companies on the Indonesia Stock Exchange. Indirectly the current ratio has a positive and significant effect on stock prices. In contrast, the debt to asset ratio has a negative and not significant effect on the company's stock prices in the basic industry sector on the Indonesia Stock Exchange.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

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