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Monetary Policy Transmission to Stock Markets

Natalia Chetveryk

ISBN 10: 3848401967 / ISBN 13: 9783848401963
Published by LAP Lambert Academic Publishing
New Condition: New Soft cover
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56 pages. Dimensions: 8.7in. x 5.9in. x 0.1in.The immediate effect of monetary policy changes on the stock market returns has been of great interest both for macroeconomists and financial economists. However, up until now a mutual accord has not been reached on the relationship between monetary policy and equity prices. The main issues of the debate are centered on the exact identification of policy changes and endogeneity of policy decisions. In this book I provide the analysis of alternative specifications of monetary policy measures and focus on testing of two most popular ones in empirical research: VAR orthogonalized innovations and decomposed federal funds rate change. I show how the estimates of stock responses vary with regard to the measure of policy shock chosen for estimation. I suggest extending the regression of stock returns on policy shocks with one of the measures of investor sentiment, Volatility Index, VIX, which I conclude to be the omitted variable. The empirical results presented in the book confirm the heterogeneous reaction of stock prices to changes in monetary conditions. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783848401963

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Title: Monetary Policy Transmission to Stock ...

Publisher: LAP Lambert Academic Publishing

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

Synopsis:

The immediate effect of monetary policy changes on the stock market returns has been of great interest both for macroeconomists and financial economists. However, up until now a mutual accord has not been reached on the relationship between monetary policy and equity prices. The main issues of the debate are centered on the exact identification of policy changes and endogeneity of policy decisions. In this book I provide the analysis of alternative specifications of monetary policy measures and focus on testing of two most popular ones in empirical research: VAR orthogonalized innovations and decomposed federal funds rate change. I show how the estimates of stock responses vary with regard to the measure of policy shock chosen for estimation. I suggest extending the regression of stock returns on policy shocks with one of the measures of investor sentiment, Volatility Index, VIX, which I conclude to be the omitted variable. The empirical results presented in the book confirm the heterogeneous reaction of stock prices to changes in monetary conditions.

About the Author:

2011 – 2012 Master of Research in Advanced Economics, Cardiff University, Wales, UK2010 – 2011 Independent Economist/Consultant, Organization for Economic Cooperation and Development; 2008 – 2010 Master of Arts in Economics, Central European University, Budapest, Hungary;

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