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Variations in effects of monetary policy on stock market returns in the past four decades

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  • He, Ling T.

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  • He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
    • Handle: RePEc:eee:revfin:v:15:y:2006:i:4:p:331-349
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    1. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 147-180.
    2. Thorbecke, Willem, 1997. "On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    3. Smirlock, Michael J & Yawitz, Jess B, 1985. "Asset Returns, Discount Rate Changes, and Market Efficiency," Journal of Finance, American Finance Association, vol. 40(4), pages 1141-1158, September.
    4. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-180, May.
    5. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters, in: Monetary Policy Rules, pages 319-348, National Bureau of Economic Research, Inc.
    6. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    7. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction of Monetary Policy to the Stock Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
    8. Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q IV), pages 17-51.
    9. Cheryl L. Edwards, 1997. "Open market operations in the 1990s," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 83(Nov), pages 859-874, November.
    10. Orphanides, Athanasios, 2004. "Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 151-175, April.
    11. J. Benson Durham, 2003. "Does monetary policy affect stock prices and Treasury yields? An error correction and simultaneous equation approach," Finance and Economics Discussion Series 2003-10, Board of Governors of the Federal Reserve System (U.S.).
    12. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    13. Patelis, Alex D, 1997. "Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-1972, December.
    14. Waud, Roger N, 1970. "Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the 'Announcement Effect'," Econometrica, Econometric Society, vol. 38(2), pages 231-250, March.
    15. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1, March.
    16. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
    17. Gerald R. Jensen & Jeffrey M. Mercer, 2002. "Monetary Policy and the Cross‐Section of Expected Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 125-139, March.
    18. Orphanides, Athanasios, 2004. "Monetary Policy Rules, Macroeconomic Stability, and Inflation: A View from the Trenches," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 151-175, April.
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    Cited by:

    1. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    2. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
    3. Nikolaos Antonakakis & Rangan Gupta & Aviral K. Tiwari, 2016. "Time-Varying Correlations between Inflation and Stock Prices in the United States over the Last Two Centuries," Working Papers 201605, University of Pretoria, Department of Economics.
    4. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
    5. Yuxun Wang, 2019. "How does reserve ratio decreasing act on market: Empirical evidence from China," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(5), pages 1-2.
    6. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU [Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 435-457.
    7. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    8. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
    9. Antonakakis, Nikolaos & Gupta, Rangan & Tiwari, Aviral K., 2017. "Has the correlation of inflation and stock prices changed in the United States over the last two centuries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1-8.
    10. Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, February.
    11. Fredj Jawadi & Mohamed Hedi Arouri & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Applied Financial Economics, Taylor & Francis Journals, vol. 20(8), pages 669-680.
    12. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
    13. Valcarcel, Victor J., 2012. "The dynamic adjustments of stock prices to inflation disturbances," Journal of Economics and Business, Elsevier, vol. 64(2), pages 117-144.
    14. Francesco, Guidi, 2008. "European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel," MPRA Paper 10759, University Library of Munich, Germany.
    15. Chang, Kuang-Liang, 2011. "The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns," Economic Modelling, Elsevier, vol. 28(3), pages 911-920, May.
    16. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
    17. Hassan Heidari & Arash Refah Kahriz & Yousef Mohammadzadeh, 2019. "Stock market behavior of pharmaceutical industry in Iran and macroeconomic factors," Economic Change and Restructuring, Springer, vol. 52(3), pages 255-277, August.

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