Monetary Policy Shocks and Stock Returns: Evidence from the British Market
نویسندگان
چکیده
This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a panel GMM estimator we find that both the expected and unexpected components of monetary changes are significant, but that only the surprise term is significant when we control for the impact of the sectors financial position. JEL classification: C33; E44; E52; G13.
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...
متن کاملThe Impact of Monetary Policy on the Stock Market Returns and Instability: Comparison of Monetary Policy Tools in Iran
After the recent financial crisis, especially the financial crisis 2008, This raises the important question of what is the role of monetary policy in occurrence and prevention of the financial instability? so, this paper investigate the dynamics impact of monetary policy on the stock market returns and instability using Structural Vector Autoregression (SVARs) model During the period 1992:q2...
متن کاملModeling Volatility Spillovers in Iran Capital Market
This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...
متن کاملتاثیر شوکهای سیاست پولی و مالی بر بازار سهام ایران
In recent decades the development of capital markets in developing countries, economic growth is desirable to have. Developed countries owe much of its development direction of financial markets, especially the stock market knows. The stock market is precisely the collection of savings and private capital to finance investment projects and on the other hand, an official and is confident that th...
متن کاملThe high-frequency asymmetric response of stock returns to monetary policy for high oil price events
a r t i c l e i n f o JEL classification: E52 G10 G14 Keywords: High oil price events Asymmetric impacts of monetary shocks Financing constraints This paper investigates whether a high oil price event that worsens the quality of a firm's balance sheet in turn provides an additional transmission channel to the stock market, which then affects stock returns. We examine the asymmetric impacts of m...
متن کامل