Oil shocks, policy uncertainty and stock market return
نویسندگان
چکیده
منابع مشابه
Stock Market Uncertainty and the Analysis of Monetary Policy shock
Policy makers impose policies to improve economy circumstance in order to achieve economic goals. However, the consequence of these policies along with the intended goals will also influence expectations, fluctuations, etc., and cause changes in levels of uncertainty. The important role of the stock market in the economy, makes it important to examine its uncertainty and its interaction with mo...
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In this paper we examine the link between stock market uncertainty and monetary policy in the US. There are strong arguments why central banks should account for stock market uncertainty in their strategy. Amongst others, they can maintain the functioning of financial markets and moderate possible economic downswings. To describe the behavior of the Federal Reserve Bank, augmented forward-looki...
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T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...
متن کاملDoes Monetary Policy Aff ect Stock Market Uncertainty ?
This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy signifi cantly Granger-causes stock market confi dence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a copula-based Markov approach the stable nonlinear relation between confi dence and uncertainty is demo...
متن کاملRelationships between Oil Price Shocks and Stock Market: An Empirical Analysis from the Greater China
Although a lot of the empirical research have studied the relationship between changes of oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong, and Taiwan). Therefore, the main goal of this paper is to apply a detail monthly data from 1997/7 to 2008/9 to fill up this ...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2013
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2013.07.001