The Impact of Monetary Policy Announcements on the Volatility of Australian Banking Stock Prices

2018 ◽  
Author(s):  
Nathan J. Atwood ◽  
Sigitas Karpavicius
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
The Impact

The impact of monetary policy on stock prices

2008 ◽  
Vol 30 (1) ◽  
pp. 33-53 ◽  
Author(s):  
Christos Ioannidis ◽  
Alexandros Kontonikas
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
The Impact

scholarly journals The Effects of Money Supply and Interest Rates on Stock Prices, Evidence from Two Behavioral Experiments

2021 ◽  
Vol 8 (2) ◽  
pp. 33
Author(s):  
Christian A. Conrad
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Money Supply ◽  
Stock Prices ◽  
Positive Impact ◽  
Real Economy ◽  
Behavioral Experiments ◽  
The Impact

What is the impact of interest rate and monetary policy on the stock market? Some studies find a positive impact of expansive monetary policy on stock prices others prove the opposite. This paper examines the effects of monetary expansion and interest rate changes on investment behavior on the stock market by illustrating two behavioral experiments with students. In our experiments the increase of money supply and the decrease of interest rates had a direct positive impact on share prices. These findings support the hypothesis that extreme expansive monetary policy with low, zero or negative interest rates encourage financial bubbles on the stock market. To avoid a crash the exit from such a policy must be slow. As happened in 1929, crashes can damage the financial system and the real economy. Central banks must take this into account in their monetary policy.

Stock returns and the US dollar: the importance of monetary policy

2015 ◽  
Vol 41 (10) ◽  
pp. 1046-1058 ◽  
Author(s):  
J. Christopher Hughen ◽  
Scott Beyer
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Factor Model ◽  
Consumer Spending ◽  
Content Type ◽  
The Us ◽  
The Impact

Purpose – In the increasingly globalized economy, foreign exchange fluctuations have multiple, conflicting effects on domestic stock prices. The purpose of this paper is to examine return data to determine the relation between the dollar’s value and stock prices as it relates to monetary policy. Design/methodology/approach – The authors examine US stock returns over a 40-year period, which is classified according to monetary policy and dollar trend. To better understand the impact of foreign exchange fluctuations, the authors estimate a model of stock returns using the three Fama-French factors and a momentum factor. Then the authors explore the underlying economic fundamentals that drive the sharp difference in annual returns between periods when the dollar is in an uptrend trend with loose monetary policy and periods when the dollar is in a downtrend with tight monetary policy. Findings – Over the last 40 years, US stock returns were 2.5 times higher when the dollar was trending up vs down. The factor model of returns shows that equity returns are positively associated with periods when the dollar appreciated. Returns were particularly high when the dollar was in an uptrend during accommodative monetary policy. During these periods, stocks in the consumer goods and services industries provided relatively high returns. This occurred with strong economic growth due to consumer spending. Stocks exhibited the lowest returns when the dollar was depreciating and the Federal Reserve was tightening. Originality/value – The key contribution of the research is that currency trends should be analyzed in the light of monetary policy. During periods of accommodative monetary policy and dollar appreciation, the US stock market provided average returns of 18.7 percent compared to −3.29 percent during a period of restrictive monetary policy and dollar depreciation. This result is driven by stronger economic growth, which is composed of consumer spending that more than offsets the dollar’s impact on net exports.

The impact of monetary policy on banking and finance stock prices in China

2014 ◽  
Vol 21 (18) ◽  
pp. 1257-1261 ◽  
Author(s):  
Hyeyoen Kim ◽  
Junyeup Kim ◽  
Jaeram Lee ◽  
Doojin Ryu
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Banking And Finance ◽  
The Impact

scholarly journals Building the uncertainty indicator regarding adjustment of the Bank of Russia’s monetary policy relying on news sources

2020 ◽  
Vol 14 (4) ◽  
pp. 62-75
Author(s):  
Elizaveta Golovanova ◽  
Andrei Zubarev
Keyword(s):  
Monetary Policy ◽  
Text Analysis ◽  
Stock Prices ◽  
Learning Support ◽  
Communication Policy ◽  
Macroeconomic Variables ◽  
Economic Agents ◽  
News Sources ◽  
The Subject ◽  
The Impact

Text analysis with machine learning support can be implemented for studying experts’ relations to the Bank of Russia. To reach macroeconomic goals, the communication policy of the bank must be predictable and trustworthy. Surveys addressing this theme are still insufficient compare to the theoretical studies on the subject of other bank tools. The goal of this research is to analyze the perception of uncertainty by economic agents. For that purpose, we built an uncertainty indicator based on news sources from the Internet and on textual analysis. The dynamics of the indicator reflect unexpected statements of the Bank of Russia and events affecting monetary policy. Financial theory links monetary policy and stock prices, so we used this fact to examine the impact of the uncertainty indicator on the MOEX and RTS indices. We tested the hypothesis that our indicator is significant in GARCH models for chosen financial series. We found out several specifications in which our indicator is significant. Among the specifications considered, the uncertainty indicator contributes the most to explaining variances of the RTS index. The obtained uncertainty indicator can be used for forecasting of different macroeconomic variables.

scholarly journals MONETARY POLICY AND ASSET PRICES IN A SMALL OPEN ECONOMY: A FACTOR-AUGMENTED VAR ANALYSIS FOR SINGAPORE

2009 ◽  
Vol 05 (01) ◽  
pp. 0950004 ◽  
Author(s):  
HWEE KWAN CHOW ◽  
KEEN MENG CHOY
Keyword(s):  
Monetary Policy ◽  
Open Economy ◽  
Stock Prices ◽  
Vector Autoregression ◽  
Asset Price ◽  
Small Open Economy ◽  
Impulse Response Functions ◽  
Economic Time Series ◽  
Policy Shocks ◽  
The Impact

The ongoing global financial turmoil has revived the question of whether central bankers ought to tighten monetary policy pre-emptively in order to head off asset price misalignments before a sudden crash triggers financial instability. This study explores the issue of the appropriate monetary policy response to asset price swings in the small open economy of Singapore. Empirical analysis of monetary policy based on standard vector autoregression (VAR) models, unfortunately, is often hindered by the use of sparse information sets. To better reflect the extensive information monitored by Singapore's central bank, including global economic indicators, we augment a monetary vector autoregression (VAR) model with common factors extracted from a large panel dataset spanning 122 economic time series and the period 1980q1–2008q2. The resulting FAVAR model is used to assess the impact of monetary policy shocks on residential property and stock prices. Impulse response functions and variance decompositions suggest that monetary policy can potentially be used to lean against asset price booms in Singapore.

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