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Monetary Policy and the Stock Market: Some International evidence

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Author Info
Christos Ioannidis
Alexandros Kontonikas

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Abstract

This paper investigates the impact of monetary policy on stock returns in thirteen OECD countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our contribution with respect to previous work is threefold. First, we show that our findings are robust to various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality exhibited by the stock returns data. Finally, we take into account the increasing co-movement among international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.

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Paper provided by Department of Economics, University of Glasgow in its series Working Papers with number 2006_12.

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Date of creation: Sep 2006
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Handle: RePEc:gla:glaewp:2006_12

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Find related papers by JEL classification:
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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  1. Edward Nelson, . "UK monetary policy 1972-97: a guide using Taylor rules," Bank of England working papers 120, Bank of England. [Downloadable!]
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  2. Cassola, Nuno & Morana, Claudio, 2004. "Monetary policy and the stock market in the euro area," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 387-399, April. [Downloadable!] (restricted)
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