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Monetary Policy Shocks and Stock Returns: Evidence from the British Market

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Author Info
A Gregoriou
A Kontonikas
R MacDonald
A Montagnoli

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Abstract

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

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Paper provided by Department of Economics, University of Glasgow in its series Working Papers with number 2006_15.

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Date of creation: Sep 2006
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Handle: RePEc:gla:glaewp:2006_15

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Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
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
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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  1. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Blackwell Publishing, vol. 58(2), pages 277-97, April. [Downloadable!] (restricted)
  2. Ben S. Bernanke & Kenneth N. Kuttner, 2005. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, 06. [Downloadable!] (restricted)
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  3. Peter Lildholdt & Anne Vila-Wetherilt, 2004. "Anticipation Of Monetary Policy In UK Financial Markets," Royal Economic Society Annual Conference 2004 20, Royal Economic Society. [Downloadable!]
  4. Saeed Akbar & Andrew W. Stark, 2003. "Deflators, Net Shareholder Cash Flows, Dividends, Capital Contributions and Estimated Models of Corporate Valuation," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 30(9-10), pages 1211-1233. [Downloadable!] (restricted)
  5. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June. [Downloadable!] (restricted)
    Other versions:
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