Financial integration, monetary policy and stock prices: Empirical evidence for the new EU member states
We provide empirical evidence on the interaction between monetary policy and stock prices in 4 new EU member states of Central and Eastern Europe by estimating a small open economy macroeconometric model (SVAR) identified by means of short-run restrictions. Our modeling choices reflect the increasing integration between the NMS and the Euro Area. Our contributions are twofold. We analyze the monetary transmission mechanism through stock prices in the NMS and we determine the extent to which financial markets in the aforementioned countries are sensitive to euro area monetary policy actions. We conclude that stock prices in the NMS are more sensitive to changes in the Euro Area interest rate than to the domestic one. Only in the Czech Republic and Poland we find a significant negative effect of contractionary monetary policy on stock prices. Moreover, we find that the volatility of stock prices in the NMS is mainly due to shocks related to exchange rate and Euro Area monetary policy shocks.
|Date of creation:||Oct 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: https://www.uantwerp.be/en/faculties/applied-economic-sciences/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elbourne, Adam & de Haan, Jakob, 2006. "Financial structure and monetary policy transmission in transition countries," Journal of Comparative Economics, Elsevier, vol. 34(1), pages 1-23, March.
- Yun Daisy Li & Talan B. Iscan & Kuan Xu, 2007.
"The Impact of Monetary Policy Shocks on Stock Prices: Evidence from Canada and the United States,"
Department of Economics at Dalhousie University working papers archive
stock_money19.pdf, Dalhousie, Department of Economics.
- Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010. "The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
- Ioannidis, Christos & Kontonikas, Alexandros, 2008. "The impact of monetary policy on stock prices," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 33-53.
- Alessio Anzuini & Aviram Levy, 2007. "Monetary policy shocks in the new EU members: a VAR approach," Applied Economics, Taylor & Francis Journals, vol. 39(9), pages 1147-1161.
- Chelley-Steeley, Patricia L., 2005. "Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 818-831, September.
When requesting a correction, please mention this item's handle: RePEc:ant:wpaper:2010024. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joeri Nys)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.